UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | August 31 |
|
|
Date of reporting period: | February 28, 2009 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Intermediate Bond
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
February 28, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .88% |
|
|
|
Actual |
| $ 1,000.00 | $ 938.70 | $ 4.23 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.43 | $ 4.41 |
Class T | .82% |
|
|
|
Actual |
| $ 1,000.00 | $ 939.00 | $ 3.94 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.73 | $ 4.11 |
Class B | 1.55% |
|
|
|
Actual |
| $ 1,000.00 | $ 935.50 | $ 7.44 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | 1.62% |
|
|
|
Actual |
| $ 1,000.00 | $ 935.10 | $ 7.77 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.76 | $ 8.10 |
Institutional Class | .54% |
|
|
|
Actual |
| $ 1,000.00 | $ 939.50 | $ 2.60 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.12 | $ 2.71 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments in each non-money market Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2009 | As of August 31, 2008 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 11.7% |
| ![]() | AAA 14.1% |
| ||
![]() | AA 6.5% |
| ![]() | AA 8.2% |
| ||
![]() | A 14.8% |
| ![]() | A 10.8% |
| ||
![]() | BBB 23.3% |
| ![]() | BBB 20.1% |
| ||
![]() | BB and Below 5.1% |
| ![]() | BB and Below 4.5% |
| ||
![]() | Not Rated 0.4% |
| ![]() | Not Rated 0.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of February 28, 2009 | ||
|
| 6 months ago |
Years | 4.7 | 4.5 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of February 28, 2009 | ||
|
| 6 months ago |
Years | 3.5 | 4.0 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2009 * | As of August 31, 2008 ** | ||||||
![]() | Corporate Bonds 45.8% |
| ![]() | Corporate Bonds 39.2% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related Securities 11.4% |
| ![]() | CMOs and Other Mortgage Related Securities 13.1% |
| ||
![]() | Other Investments 0.3% |
| ![]() | Other Investments 0.4% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 9.1% |
| ** Foreign investments | 10.1% |
| ||
* Futures and Swaps | 17.7% |
| ** Futures and Swaps | 18.7% |
|
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. |
Semiannual Report
Investments February 28, 2009 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 33.1% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 2.6% | ||||
Auto Components - 0.2% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | $ 1,126,000 | $ 1,060,123 | ||
5.875% 3/15/11 | 418,000 | 397,883 | ||
| 1,458,006 | |||
Hotels, Restaurants & Leisure - 0.1% | ||||
McDonald's Corp. 5.35% 3/1/18 | 471,000 | 485,572 | ||
Household Durables - 0.1% | ||||
Fortune Brands, Inc. 5.125% 1/15/11 | 853,000 | 840,700 | ||
Media - 1.6% | ||||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 379,000 | 384,622 | ||
6.875% 5/1/12 | 491,000 | 494,928 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 103,000 | 106,728 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 378,000 | 337,863 | ||
5.5% 3/15/11 | 77,000 | 78,122 | ||
5.7% 5/15/18 | 597,000 | 551,686 | ||
5.85% 1/15/10 | 12,000 | 12,148 | ||
COX Communications, Inc.: | ||||
4.625% 1/15/10 | 431,000 | 427,317 | ||
4.625% 6/1/13 | 899,000 | 812,825 | ||
News America, Inc.: | ||||
4.75% 3/15/10 | 49,000 | 47,809 | ||
5.3% 12/15/14 | 176,000 | 165,753 | ||
6.9% 3/1/19 (b) | 3,089,000 | 2,924,659 | ||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | 492,000 | 473,350 | ||
5.85% 5/1/17 | 1,328,000 | 1,200,953 | ||
6.2% 7/1/13 | 468,000 | 453,231 | ||
6.75% 7/1/18 | 1,486,000 | 1,408,838 | ||
8.75% 2/14/19 | 673,000 | 718,390 | ||
Time Warner, Inc. 5.875% 11/15/16 | 1,232,000 | 1,154,409 | ||
Viacom, Inc. 6.125% 10/5/17 | 905,000 | 744,828 | ||
| 12,498,459 | |||
Multiline Retail - 0.0% | ||||
Macy's Retail Holdings, Inc. 7.875% 7/15/15 | 472,000 | 338,589 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.6% | ||||
Home Depot, Inc. 2.0463% 12/16/09 (g) | $ 861,000 | $ 836,066 | ||
Staples, Inc. 9.75% 1/15/14 | 3,990,000 | 4,186,172 | ||
| 5,022,238 | |||
TOTAL CONSUMER DISCRETIONARY | 20,643,564 | |||
CONSUMER STAPLES - 2.2% | ||||
Beverages - 0.5% | ||||
Anheuser-Busch Companies, Inc. 6.45% 9/1/37 | 15,000 | 12,802 | ||
Diageo Capital PLC: | ||||
5.2% 1/30/13 | 209,000 | 212,724 | ||
5.75% 10/23/17 | 2,056,000 | 2,048,091 | ||
FBG Finance Ltd. 5.125% 6/15/15 (b) | 591,000 | 501,975 | ||
PepsiCo, Inc. 7.9% 11/1/18 | 840,000 | 1,009,443 | ||
| 3,785,035 | |||
Food & Staples Retailing - 0.4% | ||||
CVS Caremark Corp.: | ||||
2.5025% 6/1/10 (g) | 462,000 | 447,864 | ||
6.036% 12/10/28 (b) | 462,422 | 352,953 | ||
6.302% 6/1/37 (g) | 3,463,000 | 2,129,745 | ||
| 2,930,562 | |||
Food Products - 0.4% | ||||
Cargill, Inc. 6% 11/27/17 (b) | 142,000 | 132,470 | ||
General Mills, Inc.: | ||||
5.2% 3/17/15 | 867,000 | 870,731 | ||
5.65% 2/15/19 | 319,000 | 318,733 | ||
Kraft Foods, Inc.: | ||||
5.625% 11/1/11 | 737,000 | 770,218 | ||
6.125% 2/1/18 | 1,012,000 | 1,005,429 | ||
6.75% 2/19/14 | 109,000 | 116,347 | ||
| 3,213,928 | |||
Personal Products - 0.0% | ||||
Avon Products, Inc. 4.8% 3/1/13 | 360,000 | 351,202 | ||
Tobacco - 0.9% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 3,399,000 | 3,558,746 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 1,211,000 | 1,223,969 | ||
5.65% 5/16/18 | 807,000 | 783,291 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
CONSUMER STAPLES - continued | ||||
Tobacco - continued | ||||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | $ 589,000 | $ 497,445 | ||
7.25% 6/15/37 | 1,575,000 | 1,146,465 | ||
| 7,209,916 | |||
TOTAL CONSUMER STAPLES | 17,490,643 | |||
ENERGY - 3.6% | ||||
Energy Equipment & Services - 0.5% | ||||
DCP Midstream LLC 9.75% 3/15/19 (b) | 687,000 | 666,026 | ||
Noble Drilling Corp. 5.875% 6/1/13 | 218,000 | 211,537 | ||
Transocean Ltd. 5.25% 3/15/13 | 698,000 | 691,357 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 351,000 | 299,069 | ||
5.15% 3/15/13 | 1,803,000 | 1,594,754 | ||
| 3,462,743 | |||
Oil, Gas & Consumable Fuels - 3.1% | ||||
Anadarko Petroleum Corp. 6.45% 9/15/36 | 540,000 | 412,365 | ||
BW Group Ltd. 6.625% 6/28/17 (b) | 595,000 | 312,375 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 906,000 | 866,243 | ||
5.7% 5/15/17 | 233,000 | 205,766 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (b) | 830,000 | 825,243 | ||
ConocoPhillips: | ||||
4.75% 2/1/14 | 212,000 | 214,397 | ||
5.75% 2/1/19 | 1,600,000 | 1,565,690 | ||
Devon Energy Corp. 5.625% 1/15/14 | 472,000 | 475,644 | ||
Duke Capital LLC 6.25% 2/15/13 | 201,000 | 199,251 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (b) | 246,000 | 201,783 | ||
6.875% 2/1/11 | 466,000 | 465,033 | ||
7.875% 8/16/10 | 209,000 | 211,502 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 188,000 | 160,846 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (b) | 341,000 | 342,211 | ||
Enbridge Energy Partners LP: | ||||
5.875% 12/15/16 | 364,000 | 312,155 | ||
6.5% 4/15/18 | 477,000 | 416,089 | ||
9.875% 3/1/19 | 590,000 | 612,419 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 581,000 | 563,949 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 | $ 392,000 | $ 390,080 | ||
5.6% 10/15/14 | 394,000 | 365,852 | ||
5.65% 4/1/13 | 140,000 | 133,914 | ||
Gazstream SA 5.625% 7/22/13 (b) | 1,604,145 | 1,435,710 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (b) | 778,000 | 706,650 | ||
Lukoil International Finance BV 6.656% 6/7/22 (b) | 246,000 | 167,280 | ||
Nakilat, Inc. 6.067% 12/31/33 (b) | 302,000 | 197,164 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 774,000 | 703,061 | ||
5.2% 3/10/15 | 183,000 | 156,993 | ||
6.4% 5/15/37 | 1,015,000 | 716,304 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (b) | 1,517,000 | 1,466,584 | ||
Pemex Project Funding Master Trust 3.2963% 6/15/10 (b)(g) | 251,000 | 242,215 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 435,000 | 358,576 | ||
6.8% 5/15/38 | 285,000 | 209,876 | ||
Petroleos Mexicanos 8% 5/3/19 (b) | 199,000 | 195,518 | ||
Plains All American Pipeline LP 7.75% 10/15/12 | 475,000 | 478,310 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (b) | 601,000 | 619,100 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III 5.832% 9/30/16 (b) | 270,000 | 236,048 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (b) | 548,000 | 533,313 | ||
Source Gas LLC 5.9% 4/1/17 (b) | 713,000 | 534,487 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 1,222,000 | 1,007,060 | ||
TEPPCO Partners LP: | ||||
5.9% 4/15/13 | 652,000 | 588,821 | ||
6.65% 4/15/18 | 588,000 | 495,743 | ||
Texas Eastern Transmission LP 6% 9/15/17 (b) | 1,462,000 | 1,365,675 | ||
TransCanada PipeLines Ltd. 6.35% 5/15/67 (g) | 477,000 | 288,585 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 525,000 | 503,484 | ||
Valero Energy Corp. 6.625% 6/15/37 | 745,000 | 568,823 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 352,000 | 326,767 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
XTO Energy, Inc.: - continued | ||||
5.65% 4/1/16 | $ 242,000 | $ 227,133 | ||
5.9% 8/1/12 | 896,000 | 888,064 | ||
| 24,470,151 | |||
TOTAL ENERGY | 27,932,894 | |||
FINANCIALS - 15.0% | ||||
Capital Markets - 3.2% | ||||
Bear Stearns Companies, Inc.: | ||||
1.2625% 10/22/10 (g) | 471,000 | 453,166 | ||
1.346% 8/21/09 (g) | 236,000 | 232,322 | ||
1.3525% 7/16/09 (g) | 116,000 | 114,626 | ||
2.4556% 9/9/09 (g) | 256,000 | 251,859 | ||
3.25% 3/25/09 | 138,000 | 138,005 | ||
4.245% 1/7/10 | 245,000 | 240,140 | ||
4.5% 10/28/10 | 369,000 | 366,172 | ||
5.3% 10/30/15 | 236,000 | 217,660 | ||
5.85% 7/19/10 | 759,000 | 765,503 | ||
6.95% 8/10/12 | 272,000 | 281,538 | ||
BlackRock, Inc. 6.25% 9/15/17 | 2,338,000 | 2,223,291 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 1,188,000 | 1,099,008 | ||
5.45% 11/1/12 | 759,000 | 731,626 | ||
5.95% 1/18/18 | 803,000 | 717,780 | ||
6.15% 4/1/18 | 397,000 | 360,734 | ||
6.6% 1/15/12 | 344,000 | 345,012 | ||
6.75% 10/1/37 | 1,280,000 | 910,122 | ||
6.875% 1/15/11 | 55,000 | 55,752 | ||
7.5% 2/15/19 | 2,354,000 | 2,331,505 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 | 483,000 | 338,026 | ||
6.5% 6/15/12 | 840,000 | 567,158 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 773,000 | 577,694 | ||
7.125% 5/15/15 | 277,000 | 210,270 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 2,104,000 | 1,878,333 | ||
6.15% 4/25/13 | 583,000 | 512,749 | ||
6.875% 4/25/18 | 534,000 | 444,317 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Morgan Stanley: | ||||
1.6475% 1/9/12 (g) | $ 1,126,000 | $ 925,347 | ||
1.6975% 1/9/14 (g) | 1,007,000 | 674,887 | ||
4.75% 4/1/14 | 160,000 | 134,161 | ||
5.05% 1/21/11 | 613,000 | 604,548 | ||
5.45% 1/9/17 | 200,000 | 172,580 | ||
5.95% 12/28/17 | 511,000 | 450,972 | ||
6.6% 4/1/12 | 1,151,000 | 1,142,887 | ||
6.625% 4/1/18 | 1,475,000 | 1,362,016 | ||
6.75% 4/15/11 | 168,000 | 168,688 | ||
Northern Trust Corp. 5.5% 8/15/13 | 272,000 | 281,379 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 778,000 | 782,530 | ||
UBS AG Stamford Branch: | ||||
5.75% 4/25/18 | 2,246,000 | 1,963,808 | ||
5.875% 12/20/17 | 601,000 | 532,454 | ||
| 25,560,625 | |||
Commercial Banks - 3.2% | ||||
American Express Bank FSB 5.5% 4/16/13 | 2,685,000 | 2,541,049 | ||
ANZ National International Ltd. 6.2% 7/19/13 (b) | 221,000 | 213,721 | ||
Bank One Corp.: | ||||
5.25% 1/30/13 | 187,000 | 181,658 | ||
7.875% 8/1/10 | 139,000 | 143,427 | ||
BB&T Corp. 6.5% 8/1/11 | 250,000 | 254,879 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 313,000 | 320,346 | ||
Credit Suisse First Boston 6% 2/15/18 | 2,057,000 | 1,866,156 | ||
Credit Suisse First Boston New York Branch 5% 5/15/13 | 1,368,000 | 1,320,721 | ||
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (b)(g) | 1,050,580 | 829,958 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 588,000 | 568,376 | ||
5.25% 2/10/14 (b) | 114,000 | 102,336 | ||
5.5% 10/17/12 | 454,000 | 429,775 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 25,000 | 15,680 | ||
8.25% 3/1/38 | 423,000 | 306,532 | ||
HBOS PLC 6.75% 5/21/18 (b) | 679,000 | 545,088 | ||
HSBC Holdings PLC 1.6125% 10/6/16 (g) | 130,000 | 104,248 | ||
JPMorgan Chase Bank 6% 10/1/17 | 422,000 | 399,260 | ||
KeyBank NA 7% 2/1/11 | 226,000 | 223,372 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 720,000 | 720,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Korea Development Bank: - continued | ||||
4.625% 9/16/10 | $ 369,000 | $ 359,110 | ||
4.75% 7/20/09 | 189,000 | 188,111 | ||
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (b)(g) | 82,159 | 68,733 | ||
National City Bank, Cleveland: | ||||
4.15% 8/1/09 | 1,907,000 | 1,893,418 | ||
4.5% 3/15/10 | 592,000 | 588,230 | ||
PNC Funding Corp.: | ||||
1.3144% 1/31/12 (g) | 1,204,000 | 957,662 | ||
7.5% 11/1/09 | 408,000 | 406,560 | ||
Rabobank Capital Funding Trust II 5.26% (b)(g) | 115,000 | 49,450 | ||
Santander Issuances SA Unipersonal: | ||||
1.885% 6/20/16 (b)(g) | 397,758 | 299,487 | ||
5.805% 6/20/16 (b)(g) | 846,000 | 592,200 | ||
Sovereign Bank 2.88% 8/1/13 (g) | 186,453 | 139,051 | ||
Standard Chartered Bank 6.4% 9/26/17 (b) | 3,661,000 | 2,928,185 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (b)(g) | 590,000 | 265,500 | ||
Union Planters Corp. 7.75% 3/1/11 | 121,000 | 117,571 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 133,000 | 124,029 | ||
Wachovia Bank NA 4.875% 2/1/15 | 283,000 | 252,527 | ||
Wachovia Corp.: | ||||
1.2244% 10/15/11 (g) | 808,000 | 716,897 | ||
1.255% 4/23/12 (g) | 109,000 | 94,004 | ||
2.2525% 12/1/09 (g) | 219,000 | 216,359 | ||
5.625% 10/15/16 | 684,000 | 608,322 | ||
5.75% 6/15/17 | 590,000 | 553,509 | ||
Wells Fargo & Co.: | ||||
4.2% 1/15/10 | 530,000 | 529,333 | ||
5.625% 12/11/17 | 2,063,000 | 1,958,156 | ||
| 24,992,986 | |||
Consumer Finance - 2.0% | ||||
American Express Credit Corp. 5.875% 5/2/13 | 117,000 | 107,454 | ||
American General Finance Corp. 6.9% 12/15/17 | 960,000 | 381,707 | ||
Capital One Financial Corp. 2.4694% 9/10/09 (g) | 660,000 | 635,479 | ||
Discover Financial Services: | ||||
2.6288% 6/11/10 (g) | 810,000 | 717,763 | ||
6.45% 6/12/17 | 460,000 | 348,004 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
General Electric Capital Corp.: | ||||
4.8% 5/1/13 | $ 5,300,000 | $ 4,992,107 | ||
5.625% 9/15/17 | 1,414,000 | 1,232,375 | ||
6.375% 11/15/67 (g) | 1,700,000 | 985,584 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 374,000 | 364,201 | ||
7% 5/15/12 | 94,000 | 93,473 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 263,000 | 258,123 | ||
5.25% 1/15/14 | 212,000 | 198,179 | ||
MBNA Corp. 7.5% 3/15/12 | 324,000 | 299,016 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (b) | 855,000 | 803,321 | ||
ORIX Corp. 5.48% 11/22/11 | 77,000 | 53,320 | ||
SLM Corp.: | ||||
1.2994% 7/27/09 (g) | 531,000 | 494,347 | ||
1.3194% 7/26/10 (g) | 2,393,000 | 1,971,777 | ||
1.3894% 10/25/11 (g) | 472,000 | 330,708 | ||
2.1963% 3/15/11 (g) | 23,000 | 17,467 | ||
4.5% 7/26/10 | 1,636,000 | 1,293,373 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (b) | 82,954 | 70,598 | ||
| 15,648,376 | |||
Diversified Financial Services - 2.2% | ||||
Bank of America Corp. 7.4% 1/15/11 | 1,744,000 | 1,619,095 | ||
BTM Curacao Holding NV 1.8975% 12/19/16 (b)(g) | 215,437 | 166,480 | ||
CIT Group, Inc.: | ||||
1.3866% 6/8/09 (g) | 236,000 | 225,628 | ||
4.75% 12/15/10 | 165,000 | 125,285 | ||
5.4% 2/13/12 | 494,000 | 372,898 | ||
Citigroup, Inc.: | ||||
1.3356% 5/18/11 (g) | 566,000 | 473,546 | ||
5.3% 10/17/12 | 2,125,000 | 1,884,956 | ||
5.5% 4/11/13 | 2,400,000 | 2,173,222 | ||
6.125% 5/15/18 | 333,000 | 287,166 | ||
6.5% 1/18/11 | 263,000 | 248,065 | ||
6.5% 8/19/13 | 1,239,000 | 1,155,116 | ||
CME Group, Inc. 5.75% 2/15/14 | 102,000 | 102,659 | ||
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18 | 1,260,000 | 1,297,212 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (b)(g) | 603,000 | 120,600 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 577,000 | 372,227 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
International Lease Finance Corp.: - continued | ||||
5.65% 6/1/14 | $ 2,025,000 | $ 1,184,315 | ||
6.375% 3/25/13 | 303,000 | 175,740 | ||
6.625% 11/15/13 | 548,000 | 312,360 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (g) | 549,000 | 440,921 | ||
5.6% 6/1/11 | 623,000 | 635,127 | ||
5.75% 1/2/13 | 446,000 | 440,520 | ||
6.75% 2/1/11 | 76,000 | 77,665 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (b) | 219,000 | 144,540 | ||
5.5% 1/15/14 (b) | 140,000 | 95,810 | ||
5.7% 4/15/17 (b) | 341,000 | 218,311 | ||
TECO Finance, Inc. 7% 5/1/12 | 1,500,000 | 1,419,386 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (b) | 652,000 | 479,220 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (b)(g) | 1,008,000 | 410,280 | ||
ZFS Finance USA Trust IV 5.875% 5/9/32 (b)(g) | 503,000 | 193,816 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (b)(g) | 805,000 | 317,975 | ||
| 17,170,141 | |||
Insurance - 1.4% | ||||
Assurant, Inc.: | ||||
5.625% 2/15/14 | 385,000 | 317,870 | ||
6.75% 2/15/34 | 396,000 | 247,243 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 112,000 | 86,486 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(g) | 300,000 | 186,000 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (b) | 152,000 | 138,883 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (b) | 120,000 | 72,919 | ||
MetLife, Inc.: | ||||
5% 6/15/15 | 234,000 | 217,203 | ||
6.125% 12/1/11 | 199,000 | 199,340 | ||
7.717% 2/15/19 | 1,116,000 | 1,076,811 | ||
Metropolitan Life Global Funding I: | ||||
4.625% 8/19/10 (b) | 664,000 | 646,646 | ||
5.125% 4/10/13 (b) | 113,000 | 107,950 | ||
Monumental Global Funding II 5.65% 7/14/11 (b) | 333,000 | 335,954 | ||
Monumental Global Funding III 5.5% 4/22/13 (b) | 443,000 | 390,456 | ||
Pacific Life Global Funding 5.15% 4/15/13 (b) | 1,522,000 | 1,484,579 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Pennsylvania Mutual Life Insurance Co. 6.65% 6/15/34 (b) | $ 3,000,000 | $ 2,498,835 | ||
Prudential Financial, Inc.: | ||||
5.15% 1/15/13 | 436,000 | 390,070 | ||
5.4% 6/13/35 | 91,000 | 53,826 | ||
5.5% 3/15/16 | 86,000 | 71,865 | ||
5.7% 12/14/36 | 77,000 | 47,031 | ||
8.875% 6/15/68 (g) | 598,000 | 340,860 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (b)(g) | 673,000 | 316,310 | ||
Symetra Financial Corp. 6.125% 4/1/16 (b) | 1,043,000 | 822,082 | ||
The Chubb Corp. 5.75% 5/15/18 | 415,000 | 399,103 | ||
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10 | 252,000 | 256,052 | ||
| 10,704,374 | |||
Real Estate Investment Trusts - 2.1% | ||||
AMB Property LP 5.9% 8/15/13 | 519,000 | 359,713 | ||
Arden Realty LP 5.2% 9/1/11 | 270,000 | 271,965 | ||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 74,000 | 65,506 | ||
5.5% 1/15/12 | 482,000 | 449,104 | ||
6.625% 9/15/11 | 165,000 | 159,193 | ||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | 621,000 | 598,470 | ||
5.625% 12/15/10 | 821,000 | 725,218 | ||
5.7% 5/1/17 | 481,000 | 240,034 | ||
5.75% 4/1/12 | 436,000 | 239,800 | ||
BRE Properties, Inc.: | ||||
4.875% 5/15/10 | 520,000 | 489,366 | ||
5.75% 9/1/09 | 123,000 | 122,440 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 298,000 | 268,200 | ||
5.375% 12/15/13 | 132,000 | 108,240 | ||
5.875% 11/30/12 | 596,000 | 512,560 | ||
Colonial Properties Trust 4.75% 2/1/10 | 1,138,000 | 1,088,124 | ||
CPG Partners LP 6% 1/15/13 | 205,000 | 182,219 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 607,000 | 428,401 | ||
5% 5/3/10 | 451,000 | 315,700 | ||
5.25% 4/15/11 | 490,000 | 241,162 | ||
5.375% 10/15/12 | 259,000 | 124,031 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Duke Realty LP: | ||||
4.625% 5/15/13 | $ 126,000 | $ 84,725 | ||
5.25% 1/15/10 | 91,000 | 86,763 | ||
5.4% 8/15/14 | 641,000 | 437,236 | ||
5.625% 8/15/11 | 595,000 | 506,944 | ||
5.875% 8/15/12 | 113,000 | 86,578 | ||
5.95% 2/15/17 | 110,000 | 67,993 | ||
6.25% 5/15/13 | 1,550,000 | 1,162,500 | ||
6.5% 1/15/18 | 855,000 | 529,085 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 172,000 | 113,437 | ||
6.25% 1/15/17 | 99,000 | 67,320 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 83,000 | 63,161 | ||
6% 7/15/12 | 590,000 | 485,407 | ||
6.2% 1/15/17 | 125,000 | 95,000 | ||
Hospitality Properties Trust 5.625% 3/15/17 | 242,000 | 134,725 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 179,000 | 118,140 | ||
6.25% 6/15/17 | 248,000 | 153,245 | ||
6.65% 1/15/18 | 124,000 | 78,912 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 171,000 | 124,184 | ||
5.5% 12/15/16 | 299,000 | 206,190 | ||
6.625% 10/1/17 | 735,000 | 530,974 | ||
Mack-Cali Realty LP: | ||||
5.05% 4/15/10 | 163,000 | 153,220 | ||
7.25% 3/15/09 | 587,000 | 585,958 | ||
7.75% 2/15/11 | 196,000 | 184,240 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 221,000 | 211,709 | ||
4.875% 8/15/10 | 136,000 | 130,242 | ||
5% 3/1/12 | 73,000 | 62,780 | ||
5.375% 6/1/11 | 125,000 | 116,451 | ||
5.6% 9/1/11 | 547,000 | 508,531 | ||
5.75% 5/1/12 | 255,000 | 221,850 | ||
7.75% 1/20/11 | 165,000 | 157,751 | ||
Tanger Properties LP 6.15% 11/15/15 | 5,000 | 3,690 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
UDR, Inc. 5.5% 4/1/14 | $ 1,470,000 | $ 1,165,281 | ||
Washington (REIT) 5.95% 6/15/11 | 732,000 | 637,718 | ||
| 16,261,386 | |||
Real Estate Management & Development - 0.3% | ||||
ERP Operating LP: | ||||
5.375% 8/1/16 | 270,000 | 218,503 | ||
5.5% 10/1/12 | 484,000 | 440,956 | ||
5.75% 6/15/17 | 790,000 | 642,086 | ||
Post Apartment Homes LP: | ||||
5.45% 6/1/12 | 273,000 | 229,320 | ||
6.3% 6/1/13 | 483,000 | 396,060 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 123,000 | 89,884 | ||
5.25% 8/1/15 | 429,000 | 297,632 | ||
5.875% 6/15/17 | 213,000 | 147,815 | ||
| 2,462,256 | |||
Thrifts & Mortgage Finance - 0.6% | ||||
Bank of America Corp.: | ||||
4.9% 5/1/13 | 892,000 | 785,779 | ||
5.65% 5/1/18 | 1,500,000 | 1,270,199 | ||
Countrywide Financial Corp.: | ||||
1.6863% 3/24/09 (g) | 465,000 | 463,907 | ||
4.5% 6/15/10 | 96,000 | 93,212 | ||
5.8% 6/7/12 | 587,000 | 537,940 | ||
Countrywide Home Loans, Inc.: | ||||
4.125% 9/15/09 | 775,000 | 767,881 | ||
6.25% 4/15/09 | 122,000 | 122,174 | ||
Independence Community Bank Corp.: | ||||
3.585% 6/20/13 (g) | 311,525 | 224,298 | ||
3.75% 4/1/14 (g) | 849,000 | 568,830 | ||
4.9% 9/23/10 | 341,000 | 318,876 | ||
| 5,153,096 | |||
TOTAL FINANCIALS | 117,953,240 | |||
HEALTH CARE - 0.7% | ||||
Biotechnology - 0.1% | ||||
Amgen, Inc. 5.85% 6/1/17 | 595,000 | 607,408 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - 0.1% | ||||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | $ 352,000 | $ 230,121 | ||
6.3% 8/15/14 | 728,000 | 530,032 | ||
| 760,153 | |||
Pharmaceuticals - 0.5% | ||||
AstraZeneca PLC: | ||||
5.9% 9/15/17 | 930,000 | 980,072 | ||
6.45% 9/15/37 | 695,000 | 734,010 | ||
Bristol-Myers Squibb Co. 5.45% 5/1/18 | 590,000 | 601,887 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 590,000 | 595,470 | ||
Roche Holdings, Inc. 5% 3/1/14 (b) | 1,196,000 | 1,209,579 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 193,000 | 189,812 | ||
| 4,310,830 | |||
TOTAL HEALTH CARE | 5,678,391 | |||
INDUSTRIALS - 2.0% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
4.75% 8/15/10 (b) | 531,000 | 529,748 | ||
6.4% 12/15/11 (b) | 165,000 | 170,808 | ||
Bombardier, Inc. 6.3% 5/1/14 (b) | 1,575,000 | 1,055,250 | ||
| 1,755,806 | |||
Airlines - 1.1% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.855% 10/15/10 | 14,993 | 14,768 | ||
6.978% 10/1/12 | 83,118 | 76,884 | ||
7.024% 4/15/11 | 570,000 | 552,900 | ||
7.324% 4/15/11 | 500,000 | 475,000 | ||
7.858% 4/1/13 | 1,094,000 | 946,310 | ||
Continental Airlines, Inc.: | ||||
6.648% 9/15/17 | 649,993 | 513,494 | ||
6.82% 5/1/18 | 44,468 | 33,796 | ||
6.9% 7/2/19 | 174,768 | 140,688 | ||
7.056% 3/15/11 | 354,000 | 343,380 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 76,235 | 55,270 | ||
7.57% 11/18/10 | 3,200,000 | 2,928,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | $ 456,597 | $ 328,750 | ||
8.36% 7/20/20 | 310,934 | 239,419 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class 1A, 6.636% 1/2/24 | 113,586 | 81,214 | ||
6.071% 9/1/14 | 73,003 | 70,813 | ||
6.201% 3/1/10 | 46,507 | 43,949 | ||
6.602% 9/1/13 | 131,781 | 124,533 | ||
7.032% 4/1/12 | 403,228 | 386,091 | ||
7.186% 10/1/12 | 1,003,634 | 960,980 | ||
| 8,316,239 | |||
Building Products - 0.1% | ||||
Masco Corp. 2.3988% 3/12/10 (g) | 523,444 | 469,605 | ||
Industrial Conglomerates - 0.6% | ||||
Covidien International Finance SA: | ||||
5.15% 10/15/10 | 509,000 | 521,178 | ||
5.45% 10/15/12 | 124,000 | 126,902 | ||
6% 10/15/17 | 590,000 | 594,172 | ||
General Electric Co. 5.25% 12/6/17 | 3,525,000 | 3,244,325 | ||
| 4,486,577 | |||
Machinery - 0.0% | ||||
Atlas Copco AB 5.6% 5/22/17 (b) | 123,000 | 116,978 | ||
Road & Rail - 0.0% | ||||
CSX Corp. 6.25% 4/1/15 | 310,000 | 288,498 | ||
TOTAL INDUSTRIALS | 15,433,703 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
Communications Equipment - 0.1% | ||||
Cisco Systems, Inc.: | ||||
4.95% 2/15/19 | 707,000 | 683,272 | ||
5.9% 2/15/39 | 113,000 | 105,223 | ||
| 788,495 | |||
Electronic Equipment & Components - 0.2% | ||||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 594,000 | 513,989 | ||
6% 10/1/12 | 780,000 | 687,490 | ||
6.55% 10/1/17 | 475,000 | 358,140 | ||
| 1,559,619 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Office Electronics - 0.0% | ||||
Xerox Corp. 5.5% 5/15/12 | $ 322,000 | $ 298,478 | ||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
National Semiconductor Corp.: | ||||
2.2463% 6/15/10 (g) | 353,429 | 307,024 | ||
6.15% 6/15/12 | 299,000 | 234,480 | ||
| 541,504 | |||
TOTAL INFORMATION TECHNOLOGY | 3,188,096 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.0% | ||||
E.I. du Pont de Nemours & Co. 5% 1/15/13 | 95,000 | 97,038 | ||
Lubrizol Corp. 8.875% 2/1/19 | 187,000 | 191,728 | ||
| 288,766 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 369,000 | 263,424 | ||
Containers & Packaging - 0.1% | ||||
Pactiv Corp.: | ||||
5.875% 7/15/12 | 345,000 | 320,721 | ||
6.4% 1/15/18 | 352,000 | 287,004 | ||
Sealed Air Corp. 6.95% 5/15/09 (b) | 131,000 | 131,548 | ||
| 739,273 | |||
Metals & Mining - 0.4% | ||||
BHP Billiton Financial USA Ltd. 5.125% 3/29/12 | 398,000 | 407,012 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (b) | 403,000 | 414,920 | ||
Rio Tinto Finance Ltd.: | ||||
5.875% 7/15/13 | 657,000 | 597,209 | ||
6.5% 7/15/18 | 1,252,000 | 1,106,141 | ||
United States Steel Corp. 5.65% 6/1/13 | 299,000 | 244,627 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 467,000 | 449,470 | ||
| 3,219,379 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
MATERIALS - continued | ||||
Paper & Forest Products - 0.1% | ||||
International Paper Co.: | ||||
5.85% 10/30/12 | $ 30,000 | $ 26,715 | ||
7.4% 6/15/14 | 521,000 | 419,094 | ||
| 445,809 | |||
TOTAL MATERIALS | 4,956,651 | |||
TELECOMMUNICATION SERVICES - 1.9% | ||||
Diversified Telecommunication Services - 1.5% | ||||
AT&T Broadband Corp. 8.375% 3/15/13 | 520,000 | 554,713 | ||
AT&T, Inc.: | ||||
5.8% 2/15/19 | 1,769,000 | 1,717,867 | ||
6.7% 11/15/13 | 236,000 | 249,697 | ||
British Telecommunications PLC 8.625% 12/15/10 | 547,000 | 569,999 | ||
Deutsche Telekom International Financial BV: | ||||
5.25% 7/22/13 | 493,000 | 494,577 | ||
6.75% 8/20/18 | 731,000 | 747,725 | ||
SBC Communications, Inc.: | ||||
5.1% 9/15/14 | 437,000 | 433,344 | ||
5.875% 2/1/12 | 550,000 | 568,316 | ||
5.875% 8/15/12 | 197,000 | 204,371 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 984,000 | 966,902 | ||
4.95% 9/30/14 | 646,000 | 556,504 | ||
5.25% 10/1/15 | 527,000 | 444,553 | ||
6.999% 6/4/18 | 361,000 | 325,783 | ||
Telefonica Emisiones SAU: | ||||
1.555% 2/4/13 (g) | 484,000 | 415,831 | ||
6.421% 6/20/16 | 234,000 | 237,751 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 1,249,000 | 1,261,490 | ||
Verizon Communications, Inc. 6.1% 4/15/18 | 700,000 | 693,064 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 552,000 | 582,914 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 179,000 | 184,072 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 534,000 | 545,620 | ||
| 11,755,093 | |||
Wireless Telecommunication Services - 0.4% | ||||
America Movil SAB de CV: | ||||
4.125% 3/1/09 | 245,000 | 245,000 | ||
5.625% 11/15/17 | 364,000 | 338,413 | ||
Sprint Nextel Corp. 6% 12/1/16 | 230,000 | 149,500 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Verizon Wireless Capital LLC: | ||||
5.55% 2/1/14 (b) | $ 478,000 | $ 475,222 | ||
8.5% 11/15/18 (b) | 708,000 | 797,001 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 462,000 | 463,212 | ||
5.5% 6/15/11 | 556,000 | 563,837 | ||
7.75% 2/15/10 | 372,000 | 386,636 | ||
| 3,418,821 | |||
TOTAL TELECOMMUNICATION SERVICES | 15,173,914 | |||
UTILITIES - 4.1% | ||||
Electric Utilities - 2.5% | ||||
AmerenUE 6.4% 6/15/17 | 601,000 | 586,148 | ||
Cleveland Electric Illuminating Co.: | ||||
5.65% 12/15/13 | 828,000 | 788,424 | ||
8.875% 11/15/18 | 238,000 | 262,934 | ||
Commonwealth Edison Co.: | ||||
5.4% 12/15/11 | 1,278,000 | 1,299,700 | ||
5.8% 3/15/18 | 1,300,000 | 1,234,879 | ||
Duke Energy Carolinas LLC: | ||||
5.25% 1/15/18 | 710,000 | 716,313 | ||
7% 11/15/18 | 126,000 | 143,885 | ||
EDP Finance BV: | ||||
5.375% 11/2/12 (b) | 401,000 | 394,305 | ||
6% 2/2/18 (b) | 2,033,000 | 1,887,907 | ||
Enel Finance International SA: | ||||
5.7% 1/15/13 (b) | 168,000 | 166,350 | ||
6.25% 9/15/17 (b) | 679,000 | 597,226 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 644,000 | 552,765 | ||
6.75% 5/1/11 | 134,000 | 134,016 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 397,000 | 396,583 | ||
FPL Group Capital, Inc. 7.875% 12/15/15 | 311,000 | 351,490 | ||
Illinois Power Co. 6.125% 11/15/17 | 83,000 | 78,096 | ||
Jersey Central Power & Light Co. 7.35% 2/1/19 | 355,000 | 356,375 | ||
Nevada Power Co.: | ||||
6.5% 5/15/18 | 3,950,000 | 3,729,590 | ||
6.5% 8/1/18 | 316,000 | 298,102 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 550,000 | 549,770 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (b) | $ 728,000 | $ 714,381 | ||
PacifiCorp 6% 1/15/39 | 242,000 | 239,162 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 154,000 | 141,126 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 449,000 | 438,803 | ||
6.125% 6/1/17 | 121,000 | 107,192 | ||
6.45% 8/15/12 | 751,000 | 733,231 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (g) | 1,200,000 | 720,000 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 681,000 | 699,505 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 314,000 | 303,863 | ||
West Penn Power Co. 5.95% 12/15/17 (b) | 63,000 | 55,706 | ||
Wisconsin Electric Power Co. 6.25% 12/1/15 | 606,000 | 643,753 | ||
| 19,321,580 | |||
Gas Utilities - 0.1% | ||||
Southern Natural Gas Co. 5.9% 4/1/17 (b) | 89,000 | 75,934 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 624,000 | 645,400 | ||
| 721,334 | |||
Independent Power Producers & Energy Traders - 0.7% | ||||
Constellation Energy Group, Inc. 7% 4/1/12 | 1,297,000 | 1,262,618 | ||
Duke Capital LLC 5.668% 8/15/14 | 414,000 | 382,117 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 308,000 | 284,506 | ||
PPL Energy Supply LLC: | ||||
6.3% 7/15/13 | 2,000,000 | 1,985,860 | ||
6.5% 5/1/18 | 865,000 | 749,213 | ||
TXU Corp. 5.55% 11/15/14 | 1,645,000 | 822,500 | ||
| 5,486,814 | |||
Multi-Utilities - 0.8% | ||||
CenterPoint Energy, Inc. 5.95% 2/1/17 | 360,000 | 293,600 | ||
CMS Energy Corp. 6.55% 7/17/17 | 1,740,000 | 1,535,392 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 791,000 | 795,803 | ||
6.3% 9/30/66 (g) | 803,000 | 473,770 | ||
7.5% 6/30/66 (g) | 1,025,000 | 666,250 | ||
DTE Energy Co. 7.05% 6/1/11 | 198,000 | 199,850 | ||
KeySpan Corp. 7.625% 11/15/10 | 100,000 | 104,230 | ||
MidAmerican Energy Holdings, Co. 5.875% 10/1/12 | 588,000 | 605,867 | ||
National Grid PLC 6.3% 8/1/16 | 297,000 | 283,584 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 170,000 | 125,227 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
NiSource Finance Corp.: - continued | ||||
5.4% 7/15/14 | $ 271,000 | $ 212,786 | ||
5.45% 9/15/20 | 57,000 | 39,031 | ||
6.4% 3/15/18 | 311,000 | 244,155 | ||
7.875% 11/15/10 | 206,000 | 201,751 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (g) | 1,242,000 | 757,620 | ||
WPS Resources Corp. 6.11% 12/1/66 (g) | 178,000 | 94,340 | ||
| 6,633,256 | |||
TOTAL UTILITIES | 32,162,984 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $275,500,569) | 260,614,080 | |||
U.S. Government and Government Agency Obligations - 15.6% | ||||
| ||||
U.S. Government Agency Obligations - 4.5% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 | 4,850,000 | 5,205,408 | ||
5% 2/16/12 (d) | 28,035,000 | 30,479,302 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 35,684,710 | |||
U.S. Treasury Inflation Protected Obligations - 9.1% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
2% 1/15/14 (d) | 32,096,676 | 31,958,152 | ||
2% 7/15/14 | 29,008,200 | 28,892,146 | ||
2.625% 7/15/17 | 10,147,200 | 10,367,792 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 71,218,090 | |||
U.S. Treasury Obligations - 2.0% | ||||
U.S. Treasury Notes: | ||||
1.875% 2/28/14 | 947,000 | 940,494 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
3.75% 11/15/18 | $ 3,800,000 | $ 4,026,518 | ||
4% 8/15/18 | 10,000,000 | 10,789,840 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 15,756,852 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $121,899,285) | 122,659,652 | |||
U.S. Government Agency - Mortgage Securities - 14.6% | ||||
| ||||
Fannie Mae - 8.6% | ||||
3.782% 6/1/34 (g) | 551,826 | 553,376 | ||
3.915% 7/1/35 (g) | 437,563 | 439,432 | ||
4% 8/1/18 | 2,283,831 | 2,310,251 | ||
4.303% 3/1/33 (g) | 54,501 | 55,400 | ||
4.318% 7/1/35 (g) | 371,315 | 375,054 | ||
4.331% 2/1/35 (g) | 414,374 | 417,075 | ||
4.34% 1/1/35 (g) | 139,918 | 142,235 | ||
4.386% 2/1/35 (g) | 215,736 | 219,520 | ||
4.389% 12/1/33 (g) | 4,640,498 | 4,697,634 | ||
4.411% 4/1/33 (g) | 223,289 | 223,458 | ||
4.423% 5/1/35 (g) | 64,309 | 65,250 | ||
4.432% 3/1/35 (g) | 197,236 | 200,425 | ||
4.435% 6/1/35 (g) | 480,068 | 486,826 | ||
4.456% 7/1/35 (g) | 334,741 | 333,124 | ||
4.481% 3/1/35 (g) | 412,179 | 417,437 | ||
4.5% 4/1/20 to 3/1/35 | 1,854,957 | 1,877,215 | ||
4.54% 5/1/35 (g) | 286,304 | 290,235 | ||
4.543% 11/1/34 (g) | 345,582 | 348,630 | ||
4.547% 3/1/35 (g) | 652,312 | 655,665 | ||
4.548% 10/1/33 (g) | 90,008 | 90,880 | ||
4.55% 10/1/35 (g) | 2,203,556 | 2,232,245 | ||
4.583% 8/1/34 (g) | 306,351 | 310,764 | ||
4.6% 10/1/33 (g) | 102,317 | 102,584 | ||
4.603% 7/1/35 (g) | 49,222 | 49,636 | ||
4.616% 9/1/35 (g) | 2,158,066 | 2,200,163 | ||
4.623% 2/1/33 (g) | 100,170 | 100,766 | ||
4.646% 2/1/35 (g) | 2,944,364 | 2,991,537 | ||
4.649% 10/1/35 (g) | 260,522 | 262,877 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
4.651% 10/1/33 (g) | $ 40,344 | $ 40,500 | ||
4.667% 7/1/35 (g) | 550,833 | 561,366 | ||
4.686% 10/1/34 (g) | 424,251 | 427,751 | ||
4.69% 12/1/34 (g) | 264,496 | 267,540 | ||
4.742% 12/1/34 (g) | 107,355 | 108,568 | ||
4.747% 4/1/35 (g) | 45,539 | 46,274 | ||
4.765% 8/1/33 (g) | 114,712 | 115,782 | ||
4.765% 2/1/34 (g) | 34,115 | 34,758 | ||
4.784% 7/1/34 (g) | 2,535,934 | 2,571,557 | ||
4.792% 1/1/35 (g) | 78,568 | 79,711 | ||
4.798% 4/1/36 (g) | 1,529,159 | 1,534,803 | ||
4.806% 11/1/34 (g) | 326,934 | 331,085 | ||
4.81% 2/1/36 (g) | 145,381 | 147,525 | ||
4.855% 10/1/34 (g) | 1,445,058 | 1,462,960 | ||
4.891% 10/1/35 (g) | 41,687 | 42,311 | ||
4.946% 7/1/34 (g) | 49,010 | 49,546 | ||
4.987% 7/1/35 (g) | 3,117,184 | 3,171,064 | ||
5.046% 3/1/35 (g) | 19,839 | 19,940 | ||
5.06% 9/1/34 (g) | 861,817 | 871,403 | ||
5.087% 10/1/33 (g) | 1,943,084 | 1,975,356 | ||
5.089% 9/1/34 (g) | 109,536 | 110,755 | ||
5.141% 5/1/35 (g) | 78,860 | 80,447 | ||
5.16% 10/1/18 (g) | 47,890 | 48,476 | ||
5.185% 3/1/35 (g) | 60,870 | 61,963 | ||
5.192% 5/1/35 (g) | 1,433,956 | 1,466,382 | ||
5.193% 6/1/35 (g) | 445,895 | 449,802 | ||
5.198% 3/1/35 (g) | 73,308 | 73,666 | ||
5.264% 11/1/36 (g) | 465,954 | 477,499 | ||
5.31% 12/1/34 (g) | 152,152 | 154,134 | ||
5.408% 1/1/36 (g) | 592,097 | 600,434 | ||
5.456% 2/1/36 (g) | 2,191,808 | 2,265,236 | ||
5.5% 8/1/14 to 12/1/14 | 1,477,602 | 1,545,171 | ||
5.51% 11/1/36 (g) | 774,695 | 789,430 | ||
5.564% 1/1/36 (g) | 662,947 | 685,299 | ||
5.593% 7/1/37 (g) | 343,965 | 354,932 | ||
5.607% 1/1/34 (g) | 234,248 | 237,821 | ||
5.798% 1/1/36 (g) | 455,834 | 474,185 | ||
5.821% 7/1/46 (g) | 3,996,795 | 4,153,153 | ||
5.822% 3/1/36 (g) | 1,449,234 | 1,503,206 | ||
5.995% 3/1/33 (g) | 40,571 | 41,035 | ||
6% 5/1/16 to 4/1/17 | 558,433 | 584,380 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
6.013% 4/1/36 (g) | $ 266,602 | $ 277,112 | ||
6.192% 2/1/35 (g) | 65,731 | 66,859 | ||
6.243% 6/1/36 (g) | 125,359 | 127,396 | ||
6.328% 4/1/36 (g) | 262,430 | 273,133 | ||
6.5% 12/1/13 to 3/1/35 | 11,464,938 | 12,094,113 | ||
7% 11/1/11 to 6/1/33 | 1,554,994 | 1,661,093 | ||
7.5% 8/1/17 to 9/1/28 | 523,129 | 557,823 | ||
8.5% 5/1/21 to 9/1/25 | 92,249 | 98,257 | ||
9.5% 2/1/25 | 15,202 | 16,426 | ||
10.5% 8/1/20 | 18,773 | 21,409 | ||
11% 8/1/15 | 21,641 | 22,153 | ||
12.5% 12/1/13 to 4/1/15 | 10,324 | 11,883 | ||
TOTAL FANNIE MAE | 67,694,557 | |||
Freddie Mac - 2.2% | ||||
3.456% 2/1/34 (g) | 109,267 | 109,154 | ||
3.883% 1/1/35 (g) | 221,638 | 223,503 | ||
4.275% 6/1/35 (g) | 176,565 | 179,080 | ||
4.315% 12/1/34 (g) | 145,811 | 148,172 | ||
4.322% 3/1/35 (g) | 249,974 | 253,854 | ||
4.361% 2/1/35 (g) | 330,024 | 334,500 | ||
4.407% 3/1/35 (g) | 180,340 | 182,977 | ||
4.471% 3/1/35 (g) | 166,726 | 169,180 | ||
4.522% 2/1/35 (g) | 311,026 | 316,074 | ||
5% 3/1/19 | 5,896,466 | 6,108,392 | ||
5% 3/12/39 (c) | 1,000,000 | 1,015,776 | ||
5.142% 4/1/35 (g) | 816,573 | 834,825 | ||
5.288% 3/1/35 (g) | 113,273 | 113,889 | ||
5.294% 1/1/34 (g) | 961,275 | 977,558 | ||
5.521% 1/1/36 (g) | 926,805 | 954,840 | ||
5.526% 2/1/35 (g) | 202,117 | 203,229 | ||
5.694% 10/1/35 (g) | 229,541 | 239,225 | ||
5.86% 6/1/36 (g) | 301,239 | 312,317 | ||
5.977% 6/1/36 (g) | 273,418 | 283,683 | ||
6.095% 3/1/33 (g) | 25,767 | 26,171 | ||
6.101% 6/1/36 (g) | 293,437 | 305,343 | ||
6.594% 1/1/37 (g) | 1,731,287 | 1,806,491 | ||
6.837% 10/1/36 (g) | 2,190,269 | 2,285,410 | ||
8.5% 9/1/24 to 8/1/27 | 75,200 | 80,705 | ||
10.5% 5/1/21 | 801 | 808 | ||
11% 12/1/11 | 136 | 137 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Freddie Mac - continued | ||||
11.5% 10/1/15 | $ 5,066 | $ 5,657 | ||
11.75% 10/1/10 | 3,205 | 3,324 | ||
TOTAL FREDDIE MAC | 17,474,274 | |||
Government National Mortgage Association - 3.8% | ||||
4.25% 7/20/34 (g) | 304,253 | 305,385 | ||
5.5% 3/18/39 (c) | 7,000,000 | 7,189,608 | ||
5.5% 3/18/39 (c) | 8,000,000 | 8,216,694 | ||
5.5% 3/18/39 (c) | 6,000,000 | 6,162,521 | ||
5.5% 3/18/39 (c) | 7,000,000 | 7,189,608 | ||
7% 7/15/28 to 11/15/28 | 382,193 | 406,832 | ||
7.5% 2/15/28 to 10/15/28 | 6,279 | 6,645 | ||
8% 6/15/24 to 10/15/24 | 6,840 | 7,271 | ||
8.5% 5/15/17 to 10/15/21 | 95,546 | 103,668 | ||
11% 7/20/19 to 8/20/19 | 4,785 | 5,553 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 29,593,785 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $112,573,446) | 114,762,616 | |||
Asset-Backed Securities - 2.7% | ||||
| ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-4 Class A2D, 0.8238% 1/25/35 (g) | 11,532 | 4,110 | ||
Series 2005-1 Class M1, 0.9438% 4/25/35 (g) | 212,546 | 125,374 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.2238% 7/25/36 (g) | 95,099 | 732 | ||
Class M8, 1.3238% 7/25/36 (g) | 47,123 | 250 | ||
Class M9, 2.1738% 7/25/36 (g) | 31,137 | 109 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HS1: | ||||
Class M1, 1.5988% 6/25/33 (g) | 31 | 31 | ||
Class M2, 3.0988% 6/25/33 (g) | 14,181 | 9,857 | ||
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (g) | 33,851 | 29,977 | ||
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (g) | 70,866 | 30,846 | ||
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (g) | 29,895 | 24,486 | ||
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (g) | 3,927 | 3,576 | ||
Series 2006-HE2: | ||||
Class M3, 0.8138% 5/25/36 (g) | 41,322 | 1,273 | ||
Class M4, 0.8738% 5/25/36 (g) | 34,920 | 737 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
ACE Securities Corp. Home Equity Loan Trust: - continued | ||||
Series 2006-HE2: | ||||
Class M5, 0.9138% 5/25/36 (g) | $ 50,770 | $ 792 | ||
Series 2006-OP1: | ||||
Class M4, 0.8438% 4/25/36 (g) | 19,400 | 793 | ||
Class M5, 0.8638% 4/25/36 (g) | 18,430 | 632 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.6% 5/20/13 (g) | 1,200,000 | 900,000 | ||
Series 2006-A7 Class A7, 0.49% 10/20/12 (g) | 550,000 | 440,000 | ||
Series 2006-C1 Class C1, 0.95% 10/20/14 (g) | 135,664 | 9,496 | ||
Series 2007-A4 Class A4, 0.5% 4/22/13 (g) | 497,203 | 367,930 | ||
Series 2007-B1 Class B, 0.72% 12/22/14 (g) | 287,139 | 43,071 | ||
Series 2007-D1 Class D, 1.87% 1/22/13 (b)(g) | 1,420,000 | 99,400 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (b)(g) | 111,433 | 109,918 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (b)(g) | 28,292 | 25,684 | ||
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10 | 64,434 | 63,991 | ||
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class M7, 1.3238% 10/25/36 (g) | 20,392 | 12 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.1738% 12/25/33 (g) | 18,501 | 11,708 | ||
Series 2004-R10 Class M1, 1.1738% 11/25/34 (g) | 77,309 | 34,436 | ||
Series 2004-R11 Class M1, 1.1338% 11/25/34 (g) | 66,534 | 32,652 | ||
Series 2004-R2: | ||||
Class M1, 0.9038% 4/25/34 (g) | 29,255 | 22,316 | ||
Class M3, 1.0238% 4/25/34 (g) | 19,176 | 7,304 | ||
Series 2005-R1 Class M1, 0.9238% 3/25/35 (g) | 107,398 | 62,602 | ||
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (g) | 97,414 | 66,784 | ||
Series 2005-R2 Class M1, 0.9238% 4/25/35 (g) | 235,341 | 135,498 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (g) | 20,578 | 10,311 | ||
Argent Securities, Inc.: | ||||
Series 2006-M1 Class M7, 1.4738% 7/25/36 (g) | 86,250 | 233 | ||
Series 2006-M2 Class M7, 1.3738% 9/25/36 (g) | 78,844 | 71 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.7794% 3/1/34 (g) | 5,463 | 1,106 | ||
Series 2004-W11 Class M2, 1.1738% 11/25/34 (g) | 63,962 | 23,717 | ||
Series 2004-W5 Class M1, 1.0738% 4/25/34 (g) | 77,406 | 45,562 | ||
Series 2004-W7: | ||||
Class M1, 1.0238% 5/25/34 (g) | 67,706 | 21,406 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Argent Securities, Inc. pass-thru certificates: - continued | ||||
Series 2004-W7: | ||||
Class M2, 1.0738% 5/25/34 (g) | $ 59,170 | $ 31,972 | ||
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (g) | 176,909 | 62,250 | ||
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (g) | 148,507 | 1,856 | ||
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (g) | 163,466 | 79,187 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (g) | 27,812 | 12,375 | ||
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (g) | 61,149 | 31,836 | ||
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (g) | 304,192 | 131,811 | ||
Series 2004-HE3: | ||||
Class M1, 1.0138% 6/25/34 (g) | 26,927 | 10,657 | ||
Class M2, 1.5938% 6/25/34 (g) | 47,415 | 29,684 | ||
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (g) | 47,497 | 18,308 | ||
Series 2006-HE6: | ||||
Class M7, 1.2738% 11/25/36 (g) | 46,948 | 577 | ||
Class M9, 2.6238% 11/25/36 (g) | 125,421 | 640 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (a)(b)(g) | 388,000 | 0 | ||
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (g) | 391,376 | 351,872 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (g) | 37,007 | 22,497 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (g) | 73,314 | 45,581 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2005-3 Class A1, 0.9238% 9/25/35 (g) | 12,441 | 9,074 | ||
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (g) | 110,386 | 50,150 | ||
Series 2005-HE2: | ||||
Class M1, 0.9738% 2/25/35 (g) | 173,975 | 57,632 | ||
Class M2, 1.2238% 2/25/35 (g) | 570,000 | 264,521 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (g) | 261,833 | 234,092 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (g) | 56,332 | 48,452 | ||
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.83% 6/15/10 (g) | 71,852 | 70,774 | ||
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (g) | 43,503 | 40,478 | ||
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (b)(g) | 331,468 | 238,601 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.92% 7/20/39 (b)(g) | 52,147 | 13,037 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Capital Trust Ltd. Series 2004-1: - continued | ||||
Class B, 1.22% 7/20/39 (b)(g) | $ 30,070 | $ 4,210 | ||
Class C, 1.57% 7/20/39 (b)(g) | 38,684 | 3,482 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (g) | 130,038 | 6,255 | ||
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (g) | 48,500 | 970 | ||
Series 2006-NC3 Class M10, 2.4738% 8/25/36 (b)(g) | 215,000 | 2,602 | ||
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (g) | 21,243 | 576 | ||
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (g) | 205,465 | 49,740 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (b)(g) | 31,093 | 22,535 | ||
Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (g) | 60,489 | 54,526 | ||
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14 | 38,887 | 19,444 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2003-HE4 Class A, 0.8838% 12/25/33 (b)(g) | 43,504 | 29,532 | ||
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (g) | 86,233 | 1,035 | ||
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (g) | 87,242 | 3,350 | ||
CNH Wholesale Master Note Trust Series 2006-1A: | ||||
Class A, 0.515% 7/15/12 (b)(g) | 149,147 | 146,860 | ||
Class B, 0.735% 7/15/12 (b)(g) | 149,147 | 140,663 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (b) | 37,648 | 4 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 1.3338% 5/25/33 (g) | 5,908 | 3,225 | ||
Series 2004-3: | ||||
Class 3A4, 0.7238% 8/25/34 (g) | 21,794 | 11,664 | ||
Class M1, 0.9738% 6/25/34 (g) | 75,408 | 49,621 | ||
Class M4, 1.4438% 4/25/34 (g) | 18,217 | 8,631 | ||
Series 2004-4: | ||||
Class A, 0.8438% 8/25/34 (g) | 4,770 | 2,255 | ||
Class M2, 1.0038% 6/25/34 (g) | 67,016 | 44,353 | ||
Series 2005-1: | ||||
Class M1, 0.8938% 8/25/35 (g) | 58,433 | 42,131 | ||
Class MV2, 0.9138% 7/25/35 (g) | 161,175 | 112,415 | ||
Series 2005-3 Class MV1, 0.8938% 8/25/35 (g) | 282,580 | 246,323 | ||
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (g) | 54,117 | 44,708 | ||
CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (b) | 17,379 | 15,858 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (b) | 715,000 | 464,300 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Discover Card Master Trust I: | ||||
Series 2006-1 Class B1, 0.605% 8/16/11 (g) | $ 242,461 | $ 240,484 | ||
Series 2006-2 Class B1, 0.575% 1/17/12 (g) | 331,468 | 297,063 | ||
Series 2007-1 Class B, 0.555% 8/15/12 (g) | 331,468 | 259,000 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (g) | 4,436 | 2,316 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.6488% 8/25/34 (g) | 33,155 | 8,246 | ||
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (g) | 513,111 | 144,633 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (g) | 2,587 | 1,362 | ||
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (g) | 55,632 | 50,945 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b) | 20,050 | 19,843 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (b) | 850,000 | 425,000 | ||
Series 2006-C Class D, 6.89% 5/15/13 (b) | 585,000 | 291,038 | ||
Series 2007-A Class D, 7.05% 12/15/13 (b) | 310,000 | 155,000 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2006-3 Class B, 0.905% 6/15/11 (g) | 230,782 | 161,547 | ||
Series 2006-4 Class B, 1.005% 6/15/13 (g) | 88,095 | 44,425 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 1.1488% 2/25/34 (g) | 8,218 | 2,342 | ||
Class M2, 1.2238% 2/25/34 (g) | 14,046 | 8,983 | ||
Series 2004-A Class M1, 1.2988% 1/25/34 (g) | 136,902 | 73,121 | ||
Series 2005-A: | ||||
Class M1, 0.9038% 1/25/35 (g) | 11,907 | 10,974 | ||
Class M2, 0.9338% 1/25/35 (g) | 200,130 | 73,154 | ||
Class M3, 0.9638% 1/25/35 (g) | 108,136 | 46,211 | ||
Class M4, 1.1538% 1/25/35 (g) | 41,438 | 20,307 | ||
Series 2006-A: | ||||
Class M4, 0.8738% 5/25/36 (g) | 103,111 | 1,413 | ||
Class M5, 0.9738% 5/25/36 (g) | 55,232 | 685 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (b)(g) | 268,496 | 180,891 | ||
GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (b)(g) | 40,918 | 25,369 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.5713% 9/17/12 (g) | 101,443 | 71,010 | ||
Class C, 0.7013% 9/17/12 (g) | 78,880 | 51,272 | ||
Series 2007-1 Class C, 0.7313% 3/15/13 (g) | 541,047 | 357,091 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (b) | $ 479,536 | $ 191,815 | ||
GSAMP Trust: | ||||
Series 2002-HE Class M1, 2.345% 11/20/32 (g) | 70,963 | 34,561 | ||
Series 2003-FM1 Class M1, 1.7% 3/20/33 (g) | 136,559 | 82,742 | ||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (b)(g) | 142,877 | 12,009 | ||
Class M1, 1.1238% 6/25/34 (g) | 250,008 | 95,036 | ||
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (g) | 46,464 | 24,864 | ||
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (g) | 119,518 | 68,787 | ||
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (g) | 65,461 | 21,249 | ||
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (g) | 103,732 | 4,948 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.8138% 11/25/34 (g) | 1,808 | 853 | ||
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (g) | 40,413 | 37,338 | ||
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (g) | 49,160 | 624 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.5538% 5/25/30 (b)(g) | 75,229 | 33,853 | ||
Series 2006-3: | ||||
Class B, 0.8738% 9/25/46 (b)(g) | 74,651 | 11,944 | ||
Class C, 1.0238% 9/25/46 (b)(g) | 174,018 | 20,882 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (b)(g) | 401,561 | 204,796 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 1.3538% 2/25/33 (g) | 46 | 10 | ||
Series 2003-3 Class M1, 1.7638% 8/25/33 (g) | 114,000 | 51,982 | ||
Series 2003-4 Class M1, 1.6738% 10/25/33 (g) | 33,755 | 14,949 | ||
Series 2003-5: | ||||
Class A2, 1.1738% 12/25/33 (g) | 3,753 | 1,103 | ||
Class M1, 1.5238% 12/25/33 (g) | 39,023 | 23,460 | ||
Series 2003-7 Class A2, 1.2338% 3/25/34 (g) | 189 | 39 | ||
Series 2003-8 Class M1, 1.5538% 4/25/34 (g) | 59,361 | 27,533 | ||
Series 2004-3 Class M2, 2.1738% 8/25/34 (g) | 38,676 | 23,518 | ||
Series 2004-7 Class A3, 0.8638% 1/25/35 (g) | 70 | 26 | ||
Series 2005-1 Class M1, 0.9038% 5/25/35 (g) | 148,669 | 132,833 | ||
Series 2005-3 Class M1, 0.8838% 8/25/35 (g) | 101,636 | 90,851 | ||
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (g) | 45,504 | 40,201 | ||
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (g) | 416,108 | 287,288 | ||
Series 2006-7 Class M4, 0.8538% 1/25/37 (g) | 130,756 | 601 | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (g) | 32,204 | 19,587 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (g) | 256,449 | 227,770 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 0.8194% 1/20/35 (g) | $ 88,073 | $ 46,593 | ||
Class M2, 0.8494% 1/20/35 (g) | 66,063 | 32,378 | ||
Series 2005-3 Class A1, 0.6194% 1/20/35 (g) | 46,324 | 24,785 | ||
Series 2006-2: | ||||
Class M1, 0.74% 3/20/36 (g) | 72,607 | 37,973 | ||
Class M2, 0.76% 3/20/36 (g) | 120,061 | 58,948 | ||
Series 2006-3 Class A1V, 0.55% 3/20/36 (g) | 79,280 | 75,619 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (g) | 141,116 | 42,357 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 0.6038% 11/25/36 (g) | 141,698 | 60,222 | ||
Class MV1, 0.7038% 11/25/36 (g) | 115,100 | 11,687 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 4.0988% 12/27/09 (g) | 126,385 | 98,156 | ||
Series 2006-A Class 2A1, 1.4963% 9/27/21 (g) | 85,839 | 83,568 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (b)(g) | 30,638 | 306 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 1.7038% 6/25/33 (g) | 241,930 | 108,905 | ||
Series 2004-2: | ||||
Class M1, 1.0038% 6/25/34 (g) | 70,849 | 37,390 | ||
Class M2, 1.5538% 6/25/34 (g) | 50,366 | 38,392 | ||
Series 2006-9 Class M4, 0.8438% 11/25/36 (g) | 41,372 | 79 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (g) | 51,216 | 1,864 | ||
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (g) | 24,087 | 7 | ||
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (g) | 89,453 | 3,748 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (b)(g) | 1,695,000 | 1,551,434 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (g) | 67,940 | 43,620 | ||
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (g) | 18,632 | 12,975 | ||
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (g) | 296,490 | 210,204 | ||
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (g) | 193,498 | 89,100 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (g) | 4,962 | 2,873 | ||
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (g) | 60,046 | 33,964 | ||
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (g) | 46,366 | 26,852 | ||
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (g) | 6,539 | 1,134 | ||
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (g) | 117,424 | 56,458 | ||
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (g) | 55,600 | 26,816 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (g) | $ 50,304 | $ 17,157 | ||
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (g) | 45,571 | 15,528 | ||
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (g) | 58,200 | 28,039 | ||
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (g) | 25,872 | 57 | ||
Series 2006-NC4: | ||||
Class M4, 0.8238% 6/25/36 (g) | 38,800 | 404 | ||
Class M6, 0.9238% 6/25/36 (g) | 19,400 | 107 | ||
Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (g) | 12,900 | 10,412 | ||
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (g) | 12,547 | 8,401 | ||
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (g) | 6,817 | 5,425 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (g) | 3,004 | 832 | ||
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (g) | 11,696 | 9,561 | ||
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (g) | 74,098 | 41,729 | ||
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (b)(g) | 63,286 | 36,327 | ||
Series 2002-NC3: | ||||
Class A3, 1.1538% 8/25/32 (g) | 3,928 | 704 | ||
Class M1, 1.5538% 8/25/32 (g) | 7,168 | 3,269 | ||
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (g) | 46,491 | 22,868 | ||
Morgan Stanley Home Equity Loans Trust: | ||||
Series 2006-3 Class M5, 0.8838% 4/25/36 (g) | 38,800 | 481 | ||
Series 2007-2 Class A1, 0.5738% 4/25/37 (g) | 9,202 | 6,989 | ||
National Collegiate Student Loan Trust: | ||||
Series 2006-3 Class A1, 0.5038% 9/25/19 (g) | 143,285 | 134,553 | ||
Series 2006-4 Class A1, 0.5038% 3/25/25 (g) | 116,740 | 104,152 | ||
New Century Home Equity Loan Trust: | ||||
Series 2003-6 Class M1, 1.5538% 1/25/34 (g) | 133,254 | 74,491 | ||
Series 2005-4 Class M2, 0.9838% 9/25/35 (g) | 162,650 | 24,221 | ||
Series 2005-D Class M2, 0.9438% 2/25/36 (g) | 33,892 | 2,291 | ||
Nomura Home Equity Loan Trust: | ||||
Series 2006-AF1 Class A1, 6.032% 10/25/36 | 30,115 | 26,247 | ||
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (g) | 110,774 | 631 | ||
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (g) | 94,859 | 85,856 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.97% 3/20/10 (b)(g) | 64,563 | 22,597 | ||
Series 2006-1A Class A, 1.87% 3/20/11 (b)(g) | 134,073 | 53,629 | ||
Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12 | 793,876 | 717,947 | ||
Option One Mortgage Loan Trust Series 2004-3 Class M3, 1.1238% 11/25/34 (g) | 39,207 | 24,668 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 1.1538% 9/25/34 (g) | $ 31,738 | $ 18,211 | ||
Class M3, 1.7238% 9/25/34 (g) | 60,741 | 13,609 | ||
Class M4, 1.9238% 9/25/34 (g) | 77,891 | 8,240 | ||
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (g) | 45,668 | 7,576 | ||
Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (g) | 132,580 | 96,981 | ||
Series 2004-WWF1: | ||||
Class M2, 1.1538% 2/25/35 (g) | 183,311 | 107,612 | ||
Class M3, 1.2138% 2/25/35 (g) | 22,717 | 9,148 | ||
Series 2005-WCH1: | ||||
Class M2, 0.9938% 1/25/35 (g) | 87,921 | 50,233 | ||
Class M3, 1.0338% 1/25/35 (g) | 54,533 | 21,550 | ||
Class M4, 1.3038% 1/25/35 (g) | 168,217 | 25,938 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.7238% 5/25/35 (g) | 608,374 | 23,797 | ||
Class M9, 2.3538% 5/25/35 (g) | 67,415 | 1,943 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1: | ||||
Class M4, 0.8338% 9/25/36 (g) | 194,388 | 1,205 | ||
Class M5, 0.8638% 9/25/36 (g) | 96,903 | 426 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (b)(g) | 414,093 | 178,060 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (g) | 582 | 105 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (g) | 215,437 | 102,452 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (b)(g) | 122,415 | 91,824 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (g) | 145,034 | 65,265 | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 0.635% 8/15/11 (b)(g) | 197,143 | 167,572 | ||
Class C, 0.835% 8/15/11 (b)(g) | 89,900 | 67,425 | ||
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (g) | 26,709 | 17,358 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (g) | 10,400 | 4,184 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (g) | 15,647 | 6,914 | ||
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (g) | 335 | 0 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Structured Asset Securities Corp.: - continued | ||||
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (b)(g) | $ 149,147 | $ 43,343 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 0.5613% 9/15/11 (g) | 599,460 | 482,565 | ||
Class B, 0.7413% 9/15/11 (g) | 448,315 | 179,326 | ||
Series 2007-AE1: | ||||
Class A, 0.555% 1/15/12 (g) | 111,531 | 78,072 | ||
Class B, 0.755% 1/15/12 (g) | 97,039 | 38,816 | ||
Class C, 1.055% 1/15/12 (g) | 120,590 | 36,177 | ||
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (g) | 327,569 | 235,850 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 0.9038% 9/25/34 (g) | 3,285 | 679 | ||
Series 2003-6HE Class A1, 0.9438% 11/25/33 (g) | 4,157 | 1,396 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-1A Class C, 0.785% 5/16/11 (b)(g) | 322,603 | 306,775 | ||
Series 2006-2: | ||||
Class B, 0.605% 10/17/11 (g) | 390,386 | 341,588 | ||
Class C, 0.805% 10/17/11 (g) | 366,776 | 296,446 | ||
Series 2007-1 Class C, 0.8313% 6/15/12 (g) | 418,225 | 269,132 | ||
Wachovia Auto Loan Owner Trust Series 2006-2A Class E, 7.05% 5/20/14 (b) | 955,000 | 276,950 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (b) | 101,166 | 10 | ||
WaMu Asset-Backed Certificates Series 2006-HE3: | ||||
Class M4, 0.8538% 10/25/36 (g) | 68,715 | 1,244 | ||
Class M7, 1.2738% 10/25/36 (g) | 49,742 | 557 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 0.485% 9/16/13 (b)(g) | 626,213 | 596,416 | ||
Series 2006-C2A Class C2, 0.955% 8/15/15 (b)(g) | 798,019 | 346,723 | ||
Series 2006-C3A Class C3A, 0.835% 10/15/13 (b)(g) | 558,526 | 450,722 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (b) | 420,000 | 375,900 | ||
Series 2007-C1 Class C1, 0.855% 5/15/14 (b)(g) | 486,028 | 285,969 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (b)(j) | 864 | 0 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12 | $ 2,060 | $ 2,053 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (b)(g) | 203,978 | 24,477 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $25,929,328) | 21,026,536 | |||
Collateralized Mortgage Obligations - 4.5% | ||||
| ||||
Private Sponsor - 1.3% | ||||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A Class 3C, 1.6275% 2/17/52 (b)(g) | 76,320 | 57,240 | ||
Series 2006-2A: | ||||
Class 2B, 1.3575% 2/17/52 (b)(g) | 268,574 | 250,674 | ||
Class 2M, 1.4375% 2/17/52 (b)(g) | 182,651 | 164,108 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (b)(g) | 171,422 | 72,767 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2035% 12/25/33 (g) | 7,698 | 6,251 | ||
Series 2004-B Class 1A1, 6.433% 3/25/34 (g) | 8,565 | 6,523 | ||
Series 2004-C Class 1A1, 5.971% 4/25/34 (g) | 15,186 | 11,969 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 0.7538% 1/25/35 (g) | 350,705 | 173,213 | ||
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (g) | 65,017 | 36,076 | ||
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (g) | 82,680 | 41,888 | ||
Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (g) | 234,667 | 175,953 | ||
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (g) | 11,746 | 11,180 | ||
Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (g) | 2,078,233 | 1,613,809 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (g) | 6,614 | 3,293 | ||
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (g) | 14,383 | 6,741 | ||
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (g) | 3,162 | 1,323 | ||
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (g) | 52,850 | 25,166 | ||
Series 2005-10: | ||||
Class 5A1, 0.7338% 1/25/36 (g) | 83,855 | 40,057 | ||
Class 5A2, 0.7938% 1/25/36 (g) | 37,733 | 15,128 | ||
Series 2005-2: | ||||
Class 6A2, 0.7538% 6/25/35 (g) | 13,157 | 5,835 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued | ||||
Series 2005-2: | ||||
Class 6M2, 0.9538% 6/25/35 (g) | $ 168,140 | $ 41,072 | ||
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (g) | 62,436 | 31,694 | ||
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (g) | 19,790 | 9,759 | ||
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (g) | 49,268 | 27,858 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (g) | 1,825 | 1,064 | ||
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (g) | 3,702 | 1,912 | ||
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (g) | 18,015 | 9,025 | ||
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (g) | 5,433 | 2,476 | ||
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (g) | 3,399 | 2,025 | ||
Series 2007-AR7 Class 2A1, 4.6052% 11/25/34 (g) | 508,587 | 358,064 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (g) | 391,531 | 203,414 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (g) | 80,961 | 65,885 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (g) | 6,507 | 4,112 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 1.3025% 10/18/54 (b)(g) | 325,823 | 249,971 | ||
Class C2, 1.6125% 10/18/54 (b)(g) | 109,222 | 54,611 | ||
Class M2, 1.3925% 10/18/54 (b)(g) | 187,268 | 121,013 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (b)(g) | 279,515 | 130,684 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (b)(g) | 355,001 | 153,737 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A Class C2, 1.07% 12/20/54 (b)(g) | 685,130 | 47,959 | ||
Series 2006-2 Class C1, 0.94% 12/20/54 (g) | 610,149 | 61,015 | ||
Series 2006-3 Class C2, 0.97% 12/20/54 (g) | 128,118 | 7,892 | ||
Series 2006-4: | ||||
Class B1, 0.56% 12/20/54 (g) | 342,740 | 68,548 | ||
Class C1, 0.85% 12/20/54 (g) | 209,578 | 14,670 | ||
Class M1, 0.64% 12/20/54 (g) | 90,229 | 13,534 | ||
Series 2007-1: | ||||
Class 1C1, 0.77% 12/20/54 (g) | 211,732 | 21,173 | ||
Class 1M1, 0.62% 12/20/54 (g) | 137,740 | 20,661 | ||
Class 2C1, 0.9% 12/20/54 (g) | 96,631 | 9,663 | ||
Class 2M1, 0.72% 12/20/54 (g) | 176,850 | 28,296 | ||
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (g) | 245,041 | 24,504 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (g) | $ 49,066 | $ 12,267 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (g) | 48,540 | 21,756 | ||
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (b)(g) | 69,433 | 48,603 | ||
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (g) | 222,932 | 127,003 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (g) | 17,834 | 10,126 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (g) | 29,898 | 17,679 | ||
Series 2005-1: | ||||
Class M4, 1.2238% 4/25/35 (g) | 3,537 | 589 | ||
Class M5, 1.2438% 4/25/35 (g) | 3,537 | 433 | ||
Class M6, 1.2938% 4/25/35 (g) | 5,657 | 811 | ||
Series 2005-3 Class A1, 0.7138% 8/25/35 (g) | 70,798 | 35,941 | ||
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (g) | 22,103 | 757 | ||
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (g) | 19,165 | 1,515 | ||
JPMorgan Mortgage Trust: | ||||
Series 2004-A5 Class 2A1, 4.6116% 12/25/34 (g) | 290,810 | 236,669 | ||
Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (g) | 454,406 | 389,939 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (b)(g) | 56,565 | 28,895 | ||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (g) | 8,473 | 5,249 | ||
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (g) | 162,591 | 78,558 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (g) | 204,653 | 85,954 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.625% 6/15/22 (b)(g) | 23,707 | 13,039 | ||
Class C, 0.645% 6/15/22 (b)(g) | 145,170 | 72,585 | ||
Class D, 0.655% 6/15/22 (b)(g) | 55,853 | 25,134 | ||
Class E, 0.665% 6/15/22 (b)(g) | 89,337 | 35,735 | ||
Class F, 0.695% 6/15/22 (b)(g) | 161,078 | 56,377 | ||
Class G, 0.765% 6/15/22 (b)(g) | 33,484 | 10,045 | ||
Class H, 0.785% 6/15/22 (b)(g) | 67,046 | 16,762 | ||
Class J, 0.825% 6/15/22 (b)(g) | 78,221 | 15,644 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A Class 2A1, 0.8638% 3/25/28 (g) | 25,346 | 14,743 | ||
Series 2003-B Class A1, 0.8138% 4/25/28 (g) | 26,971 | 15,736 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust floater: - continued | ||||
Series 2003-D Class A, 0.7838% 8/25/28 (g) | $ 22,880 | $ 14,672 | ||
Series 2003-E Class A2, 2.0813% 10/25/28 (g) | 38,158 | 22,769 | ||
Series 2003-F Class A2, 3.805% 10/25/28 (g) | 30,649 | 18,361 | ||
Series 2004-A Class A2, 3.715% 4/25/29 (g) | 35,239 | 21,812 | ||
Series 2004-B Class A2, 2.8388% 6/25/29 (g) | 26,892 | 15,907 | ||
Series 2004-C Class A2, 2.15% 7/25/29 (g) | 31,094 | 18,456 | ||
Series 2004-D Class A2, 3.4625% 9/25/29 (g) | 26,434 | 15,649 | ||
Series 2004-E: | ||||
Class A2B, 3.825% 11/25/29 (g) | 62,574 | 39,963 | ||
Class A2D, 4.015% 11/25/29 (g) | 9,075 | 5,317 | ||
Series 2004-G Class A2, 3.48% 11/25/29 (g) | 30,251 | 18,248 | ||
Series 2005-A Class A2, 3.3525% 2/25/30 (g) | 29,241 | 17,595 | ||
Series 2005-B Class A2, 2.7988% 7/25/30 (g) | 89,346 | 55,688 | ||
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (g) | 185,755 | 873 | ||
MortgageIT Trust floater: | ||||
Series 2004-2: | ||||
Class A1, 0.8438% 12/25/34 (g) | 32,209 | 20,984 | ||
Class A2, 0.9238% 12/25/34 (g) | 43,570 | 30,284 | ||
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (g) | 36,754 | 24,296 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (g) | 371,225 | 181,633 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (g) | 278,584 | 13,121 | ||
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (g) | 233,925 | 158,427 | ||
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (g) | 59,519 | 44,044 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (g) | 951,349 | 758,474 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B: | ||||
Class B5, 2.7988% 7/10/35 (b)(g) | 155,475 | 75,638 | ||
Class B6, 3.2988% 7/10/35 (b)(g) | 635,983 | 281,677 | ||
Series 2003-CB1: | ||||
Class B3, 1.8988% 6/10/35 (b)(g) | 119,880 | 64,136 | ||
Class B4, 2.0988% 6/10/35 (b)(g) | 483,166 | 248,975 | ||
Class B5, 2.6988% 6/10/35 (b)(g) | 328,553 | 163,619 | ||
Class B6, 3.1988% 6/10/35 (b)(g) | 196,487 | 96,377 | ||
Series 2004-A: | ||||
Class B4, 1.6488% 2/10/36 (b)(g) | 91,382 | 31,655 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
RESI Finance LP/RESI Finance DE Corp. floater: - continued | ||||
Series 2004-A: | ||||
Class B5, 2.1488% 2/10/36 (b)(g) | $ 60,916 | $ 19,536 | ||
Series 2004-B: | ||||
Class B4, 1.5488% 2/10/36 (b)(g) | 39,635 | 10,919 | ||
Class B5, 1.9988% 2/10/36 (b)(g) | 30,695 | 7,615 | ||
Class B6, 2.4488% 2/10/36 (b)(g) | 10,707 | 2,203 | ||
Series 2004-C: | ||||
Class B4, 1.3988% 9/10/36 (b)(g) | 50,956 | 14,945 | ||
Class B5, 1.7988% 9/10/36 (b)(g) | 57,137 | 15,330 | ||
Class B6, 2.1988% 9/10/36 (b)(g) | 12,653 | 2,772 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (g) | 196,935 | 151,821 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 27,907 | 24,653 | ||
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (g) | 28,508 | 20,909 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (b)(g) | 31,260 | 23,450 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (b)(g) | 7,077 | 6,897 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 3.7963% 9/20/33 (g) | 51,215 | 31,216 | ||
Series 2004-1 Class A, 1.8888% 2/20/34 (g) | 18,289 | 11,712 | ||
Series 2004-10 Class A4, 4.5188% 11/20/34 (g) | 26,478 | 16,379 | ||
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (g) | 79,859 | 49,089 | ||
Series 2004-3 Class A, 3.885% 5/20/34 (g) | 25,069 | 15,313 | ||
Series 2004-4 Class A, 4.4388% 5/20/34 (g) | 95,801 | 59,616 | ||
Series 2004-5 Class A3, 2.9113% 6/20/34 (g) | 37,550 | 22,964 | ||
Series 2004-6: | ||||
Class A3A, 2.1613% 6/20/35 (g) | 28,822 | 18,485 | ||
Class A3B, 2.3038% 7/20/34 (g) | 5,506 | 3,384 | ||
Series 2004-7: | ||||
Class A3A, 1.9138% 8/20/34 (g) | 29,062 | 17,409 | ||
Class A3B, 2.1388% 7/20/34 (g) | 3,581 | 2,100 | ||
Series 2004-8 Class A2, 2.15% 9/20/34 (g) | 72,176 | 46,750 | ||
Series 2005-1 Class A2, 1.8388% 2/20/35 (g) | 48,390 | 29,974 | ||
Series 2005-2 Class A2, 2.03% 3/20/35 (g) | 60,453 | 36,348 | ||
Series 2005-3 Class A1, 0.67% 5/20/35 (g) | 29,362 | 15,773 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (g) | 59,946 | 785 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (b)(g) | $ 10,747 | $ 4,555 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (g) | 373,140 | 190,235 | ||
WaMu Mortgage pass-thru certificates floater: | ||||
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (g) | 17,279 | 16,537 | ||
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (g) | 7,003 | 6,769 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-H Class A1, 4.5322% 6/25/34 (g) | 389,581 | 317,010 | ||
Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (g) | 235,583 | 183,756 | ||
Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (g) | 168,543 | 128,768 | ||
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (g) | 454,794 | 350,048 | ||
TOTAL PRIVATE SPONSOR | 10,218,704 | |||
U.S. Government Agency - 3.2% | ||||
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 0.7238% 10/25/35 (g) | 3,903,918 | 3,773,281 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 1,092,980 | 1,137,914 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 166,238 | 174,352 | ||
Series 2003-84 Class GC, 4.5% 5/25/15 | 1,234,237 | 1,254,091 | ||
Series 2005-67 Class HD, 5.5% 12/25/30 | 2,835,000 | 2,937,087 | ||
Series 2006-4 Class PB, 6% 9/25/35 | 2,298,138 | 2,391,961 | ||
sequential payer: | ||||
Series 2002-56 Class MC, 5.5% 9/25/17 | 590,806 | 613,369 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 99,484 | 101,088 | ||
Series 2004-45 Class AV, 4.5% 10/25/22 | 183,552 | 183,142 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 457,152 | 468,151 | ||
Freddie Mac planned amortization class Series 2104 Class PG, 6% 12/15/28 | 1,062,388 | 1,102,038 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2356 Class GD, 6% 9/15/16 | 608,486 | 639,210 | ||
Series 2363 Class PF, 6% 9/15/16 | 853,363 | 891,227 | ||
Series 2702 Class WB, 5% 4/15/17 | 1,831,189 | 1,888,813 | ||
Series 3033 Class UD, 5.5% 10/15/30 | 1,075,000 | 1,116,717 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 2,495,000 | 2,579,650 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2528 Class HN, 5% 11/15/17 | $ 1,515,000 | $ 1,581,944 | ||
Series 2777 Class AB, 4.5% 6/15/29 | 2,272,169 | 2,325,608 | ||
Series 2809 Class UA, 4% 12/15/14 | 269,385 | 271,215 | ||
TOTAL U.S. GOVERNMENT AGENCY | 25,430,858 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $36,636,245) | 35,649,562 | |||
Commercial Mortgage Securities - 1.9% | ||||
| ||||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 0.9313% 3/15/22 (b)(g) | 70,189 | 31,585 | ||
Class G, 0.9913% 3/15/22 (b)(g) | 45,493 | 17,287 | ||
Series 2006-BIX1: | ||||
Class F, 0.765% 10/15/19 (b)(g) | 180,653 | 81,294 | ||
Class G, 0.785% 10/15/19 (b)(g) | 123,054 | 43,069 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2003-2 Class M1, 1.3238% 12/25/33 (b)(g) | 12,015 | 6,909 | ||
Series 2004-1: | ||||
Class A, 0.8338% 4/25/34 (b)(g) | 156,815 | 117,611 | ||
Class B, 2.3738% 4/25/34 (b)(g) | 17,424 | 6,534 | ||
Class M1, 1.0338% 4/25/34 (b)(g) | 14,123 | 8,827 | ||
Class M2, 1.6738% 4/25/34 (b)(g) | 12,717 | 6,676 | ||
Series 2004-2: | ||||
Class A, 0.9038% 8/25/34 (b)(g) | 118,633 | 94,907 | ||
Class M1, 1.0538% 8/25/34 (b)(g) | 26,925 | 16,828 | ||
Series 2004-3: | ||||
Class A1, 0.8438% 1/25/35 (b)(g) | 238,768 | 173,107 | ||
Class A2, 0.8938% 1/25/35 (b)(g) | 34,378 | 24,065 | ||
Class M1, 0.9738% 1/25/35 (b)(g) | 41,312 | 26,853 | ||
Class M2, 1.4738% 1/25/35 (b)(g) | 26,733 | 14,703 | ||
Series 2005-2A: | ||||
Class A1, 0.7838% 8/25/35 (b)(g) | 174,825 | 122,377 | ||
Class M1, 0.9038% 8/25/35 (b)(g) | 12,972 | 5,189 | ||
Class M2, 0.9538% 8/25/35 (b)(g) | 21,394 | 8,558 | ||
Class M3, 0.9738% 8/25/35 (b)(g) | 11,837 | 4,143 | ||
Class M4, 1.0838% 8/25/35 (b)(g) | 10,866 | 3,260 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2005-3A: | ||||
Class A1, 0.7938% 11/25/35 (b)(g) | $ 95,290 | $ 61,938 | ||
Class A2, 0.8738% 11/25/35 (b)(g) | 61,777 | 40,155 | ||
Class M1, 0.9138% 11/25/35 (b)(g) | 11,270 | 4,283 | ||
Class M2, 0.9638% 11/25/35 (b)(g) | 14,309 | 5,437 | ||
Class M3, 0.9838% 11/25/35 (b)(g) | 12,806 | 4,482 | ||
Class M4, 1.0738% 11/25/35 (b)(g) | 15,956 | 5,584 | ||
Series 2005-4A: | ||||
Class A2, 0.8638% 1/25/36 (b)(g) | 224,027 | 128,815 | ||
Class B1, 1.8738% 1/25/36 (b)(g) | 19,360 | 6,776 | ||
Class M1, 0.9238% 1/25/36 (b)(g) | 72,267 | 41,553 | ||
Class M2, 0.9438% 1/25/36 (b)(g) | 21,680 | 11,924 | ||
Class M3, 0.9738% 1/25/36 (b)(g) | 31,662 | 15,831 | ||
Class M4, 1.0838% 1/25/36 (b)(g) | 17,511 | 8,318 | ||
Class M5, 1.1238% 1/25/36 (b)(g) | 17,511 | 7,880 | ||
Class M6, 1.1738% 1/25/36 (b)(g) | 18,599 | 7,811 | ||
Series 2006-1: | ||||
Class A2, 0.8338% 4/25/36 (b)(g) | 34,852 | 22,932 | ||
Class M1, 0.8538% 4/25/36 (b)(g) | 12,465 | 6,233 | ||
Class M2, 0.8738% 4/25/36 (b)(g) | 13,170 | 5,926 | ||
Class M3, 0.8938% 4/25/36 (b)(g) | 11,332 | 4,759 | ||
Class M4, 0.9938% 4/25/36 (b)(g) | 6,421 | 3,484 | ||
Class M5, 1.0338% 4/25/36 (b)(g) | 6,233 | 2,368 | ||
Class M6, 1.1138% 4/25/36 (b)(g) | 12,427 | 6,437 | ||
Series 2006-2A: | ||||
Class A1, 0.7038% 7/25/36 (b)(g) | 342,015 | 273,612 | ||
Class A2, 0.7538% 7/25/36 (b)(g) | 30,877 | 24,702 | ||
Class B1, 1.3438% 7/25/36 (b)(g) | 11,561 | 2,312 | ||
Class B3, 3.1738% 7/25/36 (b)(g) | 17,467 | 3,493 | ||
Class M1, 0.7838% 7/25/36 (b)(g) | 32,397 | 16,198 | ||
Class M2, 0.8038% 7/25/36 (b)(g) | 22,857 | 10,972 | ||
Class M3, 0.8238% 7/25/36 (b)(g) | 18,960 | 8,532 | ||
Class M4, 0.8938% 7/25/36 (b)(g) | 12,803 | 5,121 | ||
Class M5, 0.9438% 7/25/36 (b)(g) | 15,736 | 5,507 | ||
Class M6, 1.0138% 7/25/36 (b)(g) | 23,478 | 8,217 | ||
Series 2006-3A: | ||||
Class B1, 1.2738% 10/25/36 (b)(g) | 20,023 | 6,187 | ||
Class B2, 1.8238% 10/25/36 (b)(g) | 14,442 | 4,245 | ||
Class B3, 3.0738% 10/25/36 (b)(g) | 23,502 | 5,218 | ||
Class M4, 0.9038% 10/25/36 (b)(g) | 22,129 | 9,637 | ||
Class M5, 0.9538% 10/25/36 (b)(g) | 26,492 | 10,597 | ||
Class M6, 1.0338% 10/25/36 (b)(g) | 51,857 | 19,446 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2006-4A: | ||||
Class A1, 0.7038% 12/25/36 (b)(g) | $ 95,467 | $ 64,936 | ||
Class A2, 0.7438% 12/25/36 (b)(g) | 430,258 | 298,513 | ||
Class B1, 1.1738% 12/25/36 (b)(g) | 15,019 | 3,004 | ||
Class B2, 1.7238% 12/25/36 (b)(g) | 15,542 | 7,159 | ||
Class B3, 2.9238% 12/25/36 (b)(g) | 26,116 | 11,494 | ||
Class M1, 0.7638% 12/25/36 (b)(g) | 31,085 | 19,957 | ||
Class M2, 0.7838% 12/25/36 (b)(g) | 20,908 | 13,172 | ||
Class M3, 0.8138% 12/25/36 (b)(g) | 21,177 | 8,894 | ||
Class M4, 0.8738% 12/25/36 (b)(g) | 25,376 | 10,150 | ||
Class M5, 0.9138% 12/25/36 (b)(g) | 23,269 | 9,308 | ||
Class M6, 0.9938% 12/25/36 (b)(g) | 20,908 | 11,621 | ||
Series 2007-1: | ||||
Class A2, 0.7438% 3/25/37 (b)(g) | 80,916 | 46,527 | ||
Class B1, 1.1438% 3/25/37 (b)(g) | 26,424 | 9,248 | ||
Class B2, 1.6238% 3/25/37 (b)(g) | 19,111 | 6,068 | ||
Class B3, 3.8238% 3/25/37 (b)(g) | 51,527 | 15,072 | ||
Class M1, 0.7438% 3/25/37 (b)(g) | 23,054 | 12,507 | ||
Class M2, 0.7638% 3/25/37 (b)(g) | 17,295 | 8,950 | ||
Class M3, 0.7938% 3/25/37 (b)(g) | 15,401 | 7,700 | ||
Class M4, 0.8438% 3/25/37 (b)(g) | 12,808 | 6,148 | ||
Class M5, 0.8938% 3/25/37 (b)(g) | 19,266 | 8,670 | ||
Class M6, 0.9738% 3/25/37 (b)(g) | 26,920 | 10,768 | ||
Series 2007-2A: | ||||
Class A1, 0.7438% 7/25/37 (b)(g) | 71,708 | 43,383 | ||
Class A2, 0.7938% 7/25/37 (b)(g) | 67,161 | 41,472 | ||
Class B1, 2.0738% 7/25/37 (b)(g) | 21,044 | 6,681 | ||
Class B2, 2.7238% 7/25/37 (b)(g) | 18,237 | 5,654 | ||
Class B3, 3.8238% 7/25/37 (b)(g) | 20,510 | 6,153 | ||
Class M1, 0.8438% 7/25/37 (b)(g) | 23,937 | 12,986 | ||
Class M2, 0.8838% 7/25/37 (b)(g) | 13,432 | 6,951 | ||
Class M3, 0.9638% 7/25/37 (b)(g) | 13,604 | 6,700 | ||
Class M4, 1.1238% 7/25/37 (b)(g) | 26,192 | 10,935 | ||
Class M5, 1.2238% 7/25/37 (b)(g) | 23,162 | 9,091 | ||
Class M6, 1.4738% 7/25/37 (b)(g) | 29,396 | 10,803 | ||
Series 2007-3: | ||||
Class A2, 0.7638% 7/25/37 (b)(g) | 118,990 | 88,386 | ||
Class B1, 1.4238% 7/25/37 (b)(g) | 19,257 | 9,168 | ||
Class B2, 2.0738% 7/25/37 (b)(g) | 47,506 | 22,622 | ||
Class B3, 4.4738% 7/25/37 (b)(g) | 25,823 | 11,848 | ||
Class M1, 0.7838% 7/25/37 (b)(g) | 17,138 | 9,948 | ||
Class M2, 0.8138% 7/25/37 (b)(g) | 18,290 | 10,264 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2007-3: | ||||
Class M3, 0.8438% 7/25/37 (b)(g) | $ 28,258 | $ 14,912 | ||
Class M4, 0.9738% 7/25/37 (b)(g) | 44,438 | 23,255 | ||
Class M5, 1.0738% 7/25/37 (b)(g) | 23,588 | 12,113 | ||
Class M6, 1.2738% 7/25/37 (b)(g) | 17,961 | 9,117 | ||
Series 2007-4A: | ||||
Class B1, 3.0238% 9/25/37 (b)(g) | 26,271 | 8,341 | ||
Class B2, 3.9238% 9/25/37 (b)(g) | 93,359 | 27,308 | ||
Class M1, 1.4238% 9/25/37 (b)(g) | 25,142 | 12,571 | ||
Class M2, 1.5238% 9/25/37 (b)(g) | 25,142 | 11,314 | ||
Class M4, 2.0738% 9/25/37 (b)(g) | 62,804 | 25,122 | ||
Class M5, 2.2238% 9/25/37 (b)(g) | 62,804 | 23,551 | ||
Class M6, 2.4238% 9/25/37 (b)(g) | 62,892 | 22,012 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.9013% 3/15/19 (b)(g) | 91,801 | 52,391 | ||
Class H, 1.1113% 3/15/19 (b)(g) | 61,770 | 27,797 | ||
Class J, 1.3113% 3/15/19 (b)(g) | 46,405 | 18,562 | ||
Series 2007-BBA8: | ||||
Class D, 0.705% 3/15/22 (b)(g) | 47,569 | 29,546 | ||
Class E, 0.755% 3/15/22 (b)(g) | 247,020 | 144,850 | ||
Class F, 0.805% 3/15/22 (b)(g) | 151,475 | 84,852 | ||
Class G, 0.855% 3/15/22 (b)(g) | 38,931 | 21,158 | ||
Class H, 1.005% 3/15/22 (b)(g) | 47,569 | 21,406 | ||
Class J, 1.155% 3/15/22 (b)(g) | 47,569 | 19,028 | ||
Series 2003-T12 Class X2, 0.5161% 8/13/39 (b)(g)(i) | 11,515,427 | 123,596 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (b)(g) | 124,779 | 54,181 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class G, 0.785% 11/15/36 (b)(g) | 50,634 | 15,697 | ||
Class H, 0.825% 11/15/36 (b)(g) | 40,527 | 12,158 | ||
Series 2007-C6 Class A1, 5.622% 12/10/49 (g) | 2,144,141 | 1,834,238 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A3, 5.607% 10/15/48 | 3,000,000 | 2,136,455 | ||
COMM pass-thru certificates floater: | ||||
Series 2005-F10A: | ||||
Class D, 0.765% 4/15/17 (b)(g) | 108,291 | 51,232 | ||
Class E, 0.825% 4/15/17 (b)(g) | 34,474 | 16,137 | ||
Class F, 0.865% 4/15/17 (b)(g) | 19,555 | 8,663 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
COMM pass-thru certificates floater: - continued | ||||
Series 2005-F10A: | ||||
Class G, 1.005% 4/15/17 (b)(g) | $ 19,555 | $ 8,471 | ||
Class H, 1.075% 4/15/17 (b)(g) | 19,555 | 7,985 | ||
Class J, 1.305% 4/15/17 (b)(g) | 14,996 | 6,770 | ||
Series 2005-FL11: | ||||
Class F, 0.9113% 11/15/17 (b)(g) | 44,319 | 14,808 | ||
Class G, 0.9613% 11/15/17 (b)(g) | 30,720 | 9,576 | ||
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.269% 1/15/49 | 450,653 | 439,267 | ||
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1: | ||||
Class C: | ||||
0.6313% 2/15/22 (b)(g) | 212,546 | 63,764 | ||
0.7313% 2/15/22 (b)(g) | 75,912 | 18,978 | ||
Class F, 0.7813% 2/15/22 (b)(g) | 151,805 | 33,397 | ||
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2002-35 Class C, 5.8718% 10/16/23 (g) | 31,989 | 32,326 | ||
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer: | ||||
Series 2003-47 Class C, 4.227% 10/16/27 | 1,694,176 | 1,702,217 | ||
Series 2003-59 Class D, 3.654% 10/16/27 | 3,060,000 | 3,035,906 | ||
GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (g)(i) | 9,708,464 | 115,344 | ||
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.9139% 7/10/38 (g) | 960,000 | 668,510 | ||
GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 0.885% 6/6/20 (b)(g) | 95,176 | 54,250 | ||
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2: | ||||
Class D, 0.6913% 11/15/18 (b)(g) | 26,312 | 12,367 | ||
Class E, 0.7413% 11/15/18 (b)(g) | 37,286 | 16,779 | ||
Class F, 0.7913% 11/15/18 (b)(g) | 55,923 | 24,606 | ||
Class G, 0.8213% 11/15/18 (b)(g) | 48,602 | 20,413 | ||
Class H, 0.9613% 11/15/18 (b)(g) | 37,286 | 14,915 | ||
LB-UBS Commercial Mortgage Trust sequential payer: | ||||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 296,104 | 288,861 | ||
Series 2007-C2 Class A1, 5.226% 2/15/40 | 377,464 | 368,300 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 0.795% 9/15/21 (b)(g) | 130,294 | 53,559 | ||
Class G, 0.815% 9/15/21 (b)(g) | 257,399 | 94,178 | ||
Class H, 0.855% 9/15/21 (b)(g) | 66,405 | 22,966 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.662% 7/15/19 (b)(g) | $ 93,780 | $ 9,378 | ||
Series 2007-XCLA Class A1, 0.662% 7/17/17 (b)(g) | 312,375 | 171,806 | ||
Series 2007-XLCA Class B, 0.9613% 7/17/17 (b)(g) | 177,809 | 16,003 | ||
Series 2007-XLFA: | ||||
Class D, 0.652% 10/15/20 (b)(g) | 76,067 | 19,017 | ||
Class E, 0.712% 10/15/20 (b)(g) | 95,138 | 19,028 | ||
Class F, 0.762% 10/15/20 (b)(g) | 57,094 | 10,277 | ||
Class G, 0.802% 10/15/20 (b)(g) | 70,577 | 10,587 | ||
Class H, 0.892% 10/15/20 (b)(g) | 44,426 | 4,443 | ||
Class J, 1.042% 10/15/20 (b)(g) | 50,712 | 4,057 | ||
Class MHRO, 1.152% 10/15/20 (b)(g) | 20,614 | 2,268 | ||
Class MJPM, 1.462% 10/15/20 (b)(g) | 6,975 | 628 | ||
Class MSTR, 1.162% 10/15/20 (b)(g) | 12,707 | 1,779 | ||
Class NHRO, 1.352% 10/15/20 (b)(g) | 30,105 | 2,709 | ||
Class NSTR, 1.312% 10/15/20 (b)(g) | 11,834 | 1,302 | ||
Series 2007-XLC1: | ||||
Class C, 1.0613% 7/17/17 (b)(g) | 242,693 | 19,415 | ||
Class D, 1.1613% 7/17/17 (b)(g) | 114,195 | 7,994 | ||
Class E, 1.2613% 7/17/17 (b)(g) | 92,798 | 5,568 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (b)(g) | 20,027 | 16,422 | ||
Wachovia Bank Commercial Mortgage Trust floater: | ||||
Series 2005-WL5A Class K, 1.655% 1/15/18 (b)(g) | 145,481 | 80,015 | ||
Series 2006-WL7A: | ||||
Class E, 0.735% 9/15/21 (b)(g) | 158,847 | 65,127 | ||
Class F, 0.795% 8/11/18 (b)(g) | 214,060 | 64,218 | ||
Class G, 0.815% 8/11/18 (b)(g) | 202,788 | 50,697 | ||
Class J, 0.9331% 8/11/18 (b)(g) | 45,086 | 16,231 | ||
Class X1A, 0.0239% 9/15/21 (b)(g)(i) | 322,727 | 2 | ||
Series 2007-WHL8: | ||||
Class AP1, 1.155% 6/15/20 (b)(g) | 10,647 | 2,662 | ||
Class AP2, 1.255% 6/15/20 (b)(g) | 17,436 | 3,487 | ||
Class F, 0.935% 6/15/20 (b)(g) | 338,588 | 108,348 | ||
Class LXR2, 1.255% 6/15/20 (b)(g) | 230,831 | 34,625 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $16,993,359) | 15,271,784 | |||
Foreign Government and Government Agency Obligations - 0.1% | ||||
| Principal Amount | Value | ||
Chilean Republic 7.125% 1/11/12 | $ 613,000 | $ 668,967 | ||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento: | ||||
5.2% 5/21/13 | 49,000 | 43,103 | ||
6.875% 3/15/12 | 79,000 | 75,658 | ||
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $119,410) | 118,761 | |||
Bank Notes - 0.1% | ||||
| ||||
National City Bank, Cleveland 2.3025% 3/1/13 (g) | 1,000,000 | 780,000 |
Fixed-Income Funds - 25.4% | |||
Shares |
| ||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (h) | 361,343 | 25,630,041 | |
Fidelity Commercial Mortgage-Backed Securities Central Fund (h) | 987,552 | 67,153,521 | |
Fidelity Corporate Bond 1-10 Year Central Fund (h) | 859,752 | 76,285,794 | |
Fidelity Corporate Bond 1-5 Year Central Fund (h) | 111,069 | 10,217,217 | |
Fidelity Specialized High Income Central Fund (h) | 264,717 | 20,573,791 | |
TOTAL FIXED-INCOME FUNDS (Cost $258,465,605) | 199,860,364 | ||
Preferred Securities - 0.1% | |||
Principal Amount |
| ||
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
ING Groep NV 5.775% (g) | $ 212,000 | 66,908 | |
MUFG Capital Finance 1 Ltd. 6.346% (g) | 932,000 | 583,379 | |
TOTAL PREFERRED SECURITIES (Cost $690,964) | 650,287 | ||
Cash Equivalents - 5.1% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # | $ 40,231,868 | $ 40,231,000 | |
TOTAL INVESTMENT PORTFOLIO - 103.2% (Cost $890,405,843) | 812,293,609 | ||
NET OTHER ASSETS - (3.2)% | (24,852,302) | ||
NET ASSETS - 100% | $ 787,441,307 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by .52% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M6, 6.835% 9/25/34 (Rating-Caa2) (e) | Oct. 2034 | $ 918,926 | (638,237) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 (Rating-Ba2) (e) | Nov. 2034 | 409,000 | (378,805) | ||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-B1) (e) | Oct. 2034 | 119,687 | (64,278) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 (Rating-Baa3) (e) | May 2033 | 409,000 | (343,651) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36 (Rating-C) (e) | Oct. 2036 | $ 335,099 | $ (323,462) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 (Rating-C) (e) | Dec. 2034 | 248,360 | (234,477) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (e) | Sept. 2034 | 119,548 | (109,815) | ||
Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 4 Index, par value of the proportional notional amount (Rating-Baa3) (f) | June 2010 | 9,760,000 | (619,575) | ||
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 3 Index, par value of the proportional notional amount (Rating-Baa3) (f) | March 2010 | 6,219,400 | (287,972) | ||
Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35 (Rating-Baa3) (e) | Feb. 2035 | 600,000 | (565,808) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Baa2) (e) | August 2034 | $ 98,734 | $ (58,054) | ||
Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35 (Rating-Caa2) (e) | June 2035 | 600,000 | (568,952) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-A3) (e) | Oct. 2034 | 122,388 | (72,516) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Baa3) (e) | April 2032 | 36,015 | (29,267) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 (Rating-Baa3) (e) | March 2034 | 21,052 | (1,404) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-Ba2) (e) | Feb. 2034 | 806 | (762) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 (Rating-Ca) (e) | August 2035 | $ 700,000 | $ (657,317) | ||
Receive quarterly a fixed rate of .45% multiplied by the notional amount and pay to Goldman Sachs, upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 5 Index, par value of the proportional notional amount (Rating-Baa3) (f) | Dec. 2010 | 14,640,000 | (1,013,091) | ||
TOTAL CREDIT DEFAULT SWAPS | 35,358,015 | (5,967,443) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 3.475% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Jan. 2013 | 25,000,000 | 1,072,963 | ||
Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2011 | 19,783,000 | 962,089 | ||
Receive semi-annually a fixed rate equal to 4.449% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2018 | 6,931,000 | 727,141 | ||
Receive semi-annually a fixed rate equal to 4.94% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | March 2012 | 25,000,000 | 2,537,753 | ||
Receive semi-annually a fixed rate equal to 5.02% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Nov. 2011 | 20,000,000 | 1,895,576 | ||
TOTAL INTEREST RATE SWAPS | 96,714,000 | 7,195,522 | |||
| $ 132,072,015 | $ 1,228,079 |
Legend |
(a) Non-income producing - Issuer is in default. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $53,780,352 or 6.8% of net assets. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,852,144. |
(e) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(f) Represents a tradable index of credit default swaps on investment grade debt of U.S. companies. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request. |
(i) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(j) Non-income producing |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$40,231,000 due 3/02/09 at 0.26% | |
Goldman, Sachs & Co. | $ 15,774,577 |
UBS Securities LLC | 24,456,423 |
| $ 40,231,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 692,998 |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 2,531,281 |
Fidelity Corporate Bond 1-10 Year Central Fund | 7,257,245 |
Fidelity Corporate Bond 1-5 Year Central Fund | 371,176 |
Fidelity Specialized High Income Central Fund | 870,843 |
Fidelity Ultra-Short Central Fund | 486,340 |
Total | $ 12,209,883 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, | % ownership, end of |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 47,438,002 | $ 692,998 | $ 17,316,138 | $ 25,630,041 | 3.2% |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 99,633,125 | 2,531,287 | 12,995,240 | 67,153,521 | 2.9% |
Fidelity Corporate Bond 1-10 Year Central Fund | 275,919,248 | 7,286,616 | 187,226,317* | 76,285,794 | 3.1% |
Fidelity Corporate Bond 1-5 Year Central Fund | 18,814,985 | 371,176 | 7,835,596 | 10,217,217 | 2.9% |
Fidelity Specialized High Income Central Fund | 23,421,149 | 870,843 | - | 20,573,791 | 5.3% |
Fidelity Ultra-Short Central Fund | 68,380,155 | - | 57,552,245 * | - | 0.0% |
Total | $ 533,606,664 | $ 11,752,920 | $ 282,925,536 | $ 199,860,364 |
* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Investments (Unaudited) - continued
Other Information |
The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 812,293,609 | $ 199,860,364 | $ 608,617,667 | $ 3,815,578 |
Other Financial Instruments* | $ 1,228,079 | $ - | $ 4,307,371 | $ (3,079,292) |
* Other financial instruments include Swap Agreements. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
| Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 215,029 | $ (6,691,180) |
Total Realized Gain (Loss) | 27,456 | -* |
Total Unrealized Gain (Loss) | 987,424 | 3,696,575 |
Cost of Purchases | 4,347,492 | - |
Proceeds of Sales | (87,523) | - |
Amortization/Accretion | (1,674,300) | - |
Transfer in/out of Level 3 | - | (84,687) |
Ending Balance | $ 3,815,578 | $ (3,079,292) |
* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(313,172). |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Income Tax Information |
At August 31, 2008, the fund had a capital loss carryforward of approximately $16,598,133 of which $8,055,126 and $8,543,007 will expire on August 31, 2014 and 2016, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| February 28, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $40,231,000) - See accompanying schedule: Unaffiliated issuers (cost $631,940,238) | $ 612,433,244 |
|
Fidelity Central Funds (cost $258,465,605) | 199,860,365 |
|
Total Investments (cost $890,405,843) |
| $ 812,293,609 |
Cash | 19,883 | |
Receivable for investments sold | 7,500,984 | |
Receivable for swap agreements | 20,391 | |
Receivable for fund shares sold | 1,096,558 | |
Interest receivable | 5,398,324 | |
Distributions receivable from Fidelity Central Funds | 1,614,214 | |
Unrealized appreciation on swap agreements | 7,195,522 | |
Prepaid expenses | 7,278 | |
Other receivables | 386,084 | |
Total assets | 835,532,847 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 2,585,073 | |
Delayed delivery | 29,721,438 | |
Payable for swap agreements | 397,241 | |
Payable for fund shares redeemed | 8,299,497 | |
Distributions payable | 174,470 | |
Unrealized depreciation on swap agreements | 5,967,443 | |
Accrued management fee | 215,240 | |
Distribution fees payable | 148,488 | |
Other affiliated payables | 154,491 | |
Other payables and accrued expenses | 428,159 | |
Total liabilities | 48,091,540 | |
|
|
|
Net Assets | $ 787,441,307 | |
Net Assets consist of: |
| |
Paid in capital | $ 942,136,133 | |
Distributions in excess of net investment income | (3,853,986) | |
Accumulated undistributed net realized gain (loss) on investments | (70,222,892) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (80,617,948) | |
Net Assets | $ 787,441,307 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
| February 28, 2009 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price | $ 9.46 | |
|
|
|
Maximum offering price per share (100/97.25 of $9.46) | $ 9.73 | |
Class T: | $ 9.47 | |
|
|
|
Maximum offering price per share (100/97.25 of $9.47) | $ 9.74 | |
Class B: | $ 9.45 | |
|
|
|
Class C: | $ 9.44 | |
|
|
|
Institutional Class: | $ 9.48 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended February 28, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Interest |
| $ 5,046,900 |
Income from Fidelity Central Funds |
| 12,209,883 |
Total income |
| 17,256,783 |
|
|
|
Expenses | ||
Management fee | $ 1,347,083 | |
Transfer agent fees | 808,544 | |
Distribution fees | 909,970 | |
Accounting and security lending fees | 155,669 | |
Custodian fees and expenses | 11,932 | |
Independent trustees' compensation | 1,570 | |
Registration fees | 51,550 | |
Audit | 46,664 | |
Legal | 1,839 | |
Miscellaneous | (22,867) | |
Total expenses before reductions | 3,311,954 | |
Expense reductions | (4,122) | 3,307,832 |
Net investment income | 13,948,951 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 6,050,025 | |
Fidelity Central Funds | (54,109,453) |
|
Swap agreements | (3,132,045) |
|
Total net realized gain (loss) |
| (51,191,473) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (26,222,138) | |
Swap agreements | 4,954,985 | |
Total change in net unrealized appreciation (depreciation) |
| (21,267,153) |
Net gain (loss) | (72,458,626) | |
Net increase (decrease) in net assets resulting from operations | $ (58,509,675) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended February 28, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 13,948,951 | $ 54,822,787 |
Net realized gain (loss) | (51,191,473) | (4,076,446) |
Change in net unrealized appreciation (depreciation) | (21,267,153) | (24,788,132) |
Net increase (decrease) in net assets resulting from operations | (58,509,675) | 25,958,209 |
Distributions to shareholders from net investment income | (19,323,285) | (56,702,503) |
Share transactions - net increase (decrease) | (126,015,790) | (533,888,338) |
Total increase (decrease) in net assets | (203,848,750) | (564,632,632) |
|
|
|
Net Assets | ||
Beginning of period | 991,290,057 | 1,555,922,689 |
End of period (including distributions in excess of net investment income of $3,853,986 and undistributed net investment income of $1,520,348, respectively) | $ 787,441,307 | $ 991,290,057 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.31 | $ 10.64 | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .156 | .457 | .487 | .385 | .397 | .385 | .420 |
Net realized and unrealized gain (loss) | (.789) | (.319) | (.167) | (.043) | (.338) | .120 | .254 |
Total from investment operations | (.633) | .138 | .320 | .342 | .059 | .505 | .674 |
Distributions from net investment income | (.217) | (.468) | (.460) | (.382) | (.379) | (.385) | (.414) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.217) | (.468) | (.460) | (.432) | (.529) | (.485) | (.414) |
Net asset value, end of period | $ 9.46 | $ 10.31 | $ 10.64 | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 |
Total Return B, C, D | (6.13)% | 1.28% | 2.99% | 3.23% | .54% | 4.58% | 6.16% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | .88% A | .85% | .79% | .75% A | .81% | .84% | .81% |
Expenses net of fee waivers, if any | .88% A | .85% | .79% | .75% A | .81% | .84% | .81% |
Expenses net of all reductions | .88% A | .85% | .78% | .74% A | .80% | .84% | .81% |
Net investment income | 3.25% A | 4.32% | 4.52% | 4.30% A | 3.60% | 3.42% | 3.72% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 178,558 | $ 216,683 | $ 255,591 | $ 229,490 | $ 219,441 | $ 186,748 | $ 166,701 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class T
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.32 | $ 10.64 | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .158 | .462 | .484 | .377 | .386 | .374 | .408 |
Net realized and unrealized gain (loss) | (.788) | (.310) | (.178) | (.043) | (.338) | .130 | .253 |
Total from investment operations | (.630) | .152 | .306 | .334 | .048 | .504 | .661 |
Distributions from net investment income | (.220) | (.472) | (.456) | (.374) | (.368) | (.374) | (.401) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.220) | (.472) | (.456) | (.424) | (.518) | (.474) | (.401) |
Net asset value, end of period | $ 9.47 | $ 10.32 | $ 10.64 | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 |
Total Return B, C, D | (6.10)% | 1.41% | 2.85% | 3.15% | .43% | 4.56% | 6.03% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | .82% A | .82% | .82% | .84% A | .91% | .95% | .93% |
Expenses net of fee waivers, if any | .82% A | .82% | .82% | .84% A | .91% | .95% | .93% |
Expenses net of all reductions | .82% A | .82% | .82% | .83% A | .91% | .95% | .93% |
Net investment income | 3.31% A | 4.35% | 4.48% | 4.21% A | 3.49% | 3.32% | 3.60% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 276,606 | $ 344,229 | $ 503,737 | $ 563,677 | $ 622,245 | $ 680,947 | $ 711,263 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class B
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.30 | $ 10.63 | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .123 | .385 | .409 | .316 | .310 | .295 | .331 |
Net realized and unrealized gain (loss) | (.788) | (.318) | (.169) | (.043) | (.338) | .120 | .253 |
Total from investment operations | (.665) | .067 | .240 | .273 | (.028) | .415 | .584 |
Distributions from net investment income | (.185) | (.397) | (.380) | (.313) | (.292) | (.295) | (.324) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.185) | (.397) | (.380) | (.363) | (.442) | (.395) | (.324) |
Net asset value, end of period | $ 9.45 | $ 10.30 | $ 10.63 | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 |
Total Return B, C, D | (6.45)% | .60% | 2.24% | 2.57% | (.25)% | 3.75% | 5.32% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | 1.55% A | 1.53% | 1.52% | 1.52% A | 1.61% | 1.66% | 1.60% |
Expenses net of fee waivers, if any | 1.55% A | 1.53% | 1.52% | 1.52% A | 1.60% | 1.65% | 1.60% |
Expenses net of all reductions | 1.55% A | 1.53% | 1.52% | 1.52% A | 1.60% | 1.65% | 1.60% |
Net investment income | 2.58% A | 3.64% | 3.78% | 3.52% A | 2.80% | 2.62% | 2.92% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 12,213 | $ 15,141 | $ 22,609 | $ 46,344 | $ 73,017 | $ 118,751 | $ 154,697 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class C
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.29 | $ 10.62 | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .120 | .378 | .400 | .308 | .301 | .289 | .322 |
Net realized and unrealized gain (loss) | (.788) | (.317) | (.167) | (.042) | (.337) | .120 | .254 |
Total from investment operations | (.668) | .061 | .233 | .266 | (.036) | .409 | .576 |
Distributions from net investment income | (.182) | (.391) | (.373) | (.306) | (.284) | (.289) | (.316) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.182) | (.391) | (.373) | (.356) | (.434) | (.389) | (.316) |
Net asset value, end of period | $ 9.44 | $ 10.29 | $ 10.62 | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 |
Total Return B, C, D | (6.49)% | .54% | 2.18% | 2.51% | (.33)% | 3.70% | 5.26% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | 1.62% A | 1.59% | 1.59% | 1.60% A | 1.67% | 1.70% | 1.67% |
Expenses net of fee waivers, if any | 1.62% A | 1.59% | 1.59% | 1.60% A | 1.67% | 1.70% | 1.67% |
Expenses net of all reductions | 1.62% A | 1.59% | 1.58% | 1.60% A | 1.67% | 1.70% | 1.67% |
Net investment income | 2.52% A | 3.58% | 3.72% | 3.45% A | 2.73% | 2.57% | 2.86% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 52,145 | $ 52,529 | $ 58,693 | $ 63,946 | $ 74,522 | $ 91,149 | $ 113,849 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 I | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.34 | $ 10.66 | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 | $ 11.08 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .173 | .494 | .513 | .401 | .417 | .400 | .437 |
Net realized and unrealized gain (loss) | (.800) | (.311) | (.169) | (.043) | (.339) | .122 | .254 |
Total from investment operations | (.627) | .183 | .344 | .358 | .078 | .522 | .691 |
Distributions from net investment income | (.233) | (.503) | (.484) | (.398) | (.398) | (.402) | (.431) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.233) | (.503) | (.484) | (.448) | (.548) | (.502) | (.431) |
Net asset value, end of period | $ 9.48 | $ 10.34 | $ 10.66 | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 |
Total Return B, C | (6.05)% | 1.71% | 3.22% | 3.37% | .71% | 4.72% | 6.30% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
|
Expenses before reductions | .54% A | .53% | .55% | .57% A | .63% | .70% | .66% |
Expenses net of fee waivers, if any | .54% A | .53% | .55% | .57% A | .63% | .70% | .66% |
Expenses net of all reductions | .54% A | .53% | .55% | .57% A | .63% | .70% | .66% |
Net investment income | 3.60% A | 4.64% | 4.75% | 4.48% A | 3.77% | 3.57% | 3.87% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 267,919 | $ 362,708 | $ 715,292 | $ 582,070 | $ 465,201 | $ 269,727 | $ 155,302 |
Portfolio turnover rate F | 101% A | 81% | 89% J | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. I For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. J Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2009 (Unaudited)
1. Organization.
Fidelity Advisor Intermediate Bond Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central | Investment | Investment | Investment |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
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2. Investments in Fidelity Central Funds - continued
Fidelity Central | Investment | Investment | Investment |
Fidelity Commercial Mortgage-Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
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Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in
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3. Significant Accounting Policies - continued
Security Valuation - continued
active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
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Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 7,729,686 |
Unrealized depreciation | (85,083,117) |
Net unrealized appreciation (depreciation) | $ (77,353,431) |
Cost for federal income tax purposes | $ 889,647,040 |
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after
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3. Significant Accounting Policies - continued
New Accounting Pronouncement - continued
November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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Notes to Financial Statements (Unaudited) - continued
4. Operating Policies - continued
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event
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4. Operating Policies - continued
Swap Agreements - continued
may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $35,358,015 representing 4.5% of net assets.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $212,776,810 and $295,187,861, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20%
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Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | -% | .25% | $ 235,054 | $ 11,775 |
Class T | -% | .25% | 369,055 | 4,792 |
Class B | .65% | .25% | 58,168 | 42,207 |
Class C | .75% | .25% | 247,693 | 20,688 |
|
|
| $ 909,970 | $ 79,462 |
Sales Load. FDC receives a front-end sales charge of up to 2.75% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 8,150 |
Class T | 3,751 |
Class B* | 16,446 |
Class C* | 2,568 |
| $ 30,915 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
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6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 230,962 | .25 |
Class T | 277,113 | .19 |
Class B | 16,671 | .26 |
Class C | 55,193 | .23 |
Institutional Class | 228,605 | .16 |
| $ 808,544 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro-rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $34,413,111 in return for its 550,378 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.
On February 20, 2009, the Fund redeemed in-kind 1,969,867 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $177,302,227 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.
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Notes to Financial Statements (Unaudited) - continued
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $2,634 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $15,671.
9. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $3,909. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
Class A | $ 213 |
Semiannual Report
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended | Year ended |
From net investment income |
|
|
Class A | $ 4,243,609 | $ 11,114,337 |
Class T | 6,734,581 | 19,685,484 |
Class B | 248,969 | 698,735 |
Class C | 935,568 | 2,134,294 |
Institutional Class | 7,160,558 | 23,069,653 |
Total | $ 19,323,285 | $ 56,702,503 |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class A |
|
|
|
|
Shares sold | 3,280,847 | 7,478,814 | $ 31,664,251 | $ 79,389,123 |
Reinvestment of distributions | 385,525 | 913,344 | 3,670,163 | 9,656,597 |
Shares redeemed | (5,801,511) | (11,412,910) | (55,761,991) | (120,176,822) |
Net increase (decrease) | (2,135,139) | (3,020,752) | $ (20,427,577) | $ (31,131,102) |
Class T |
|
|
|
|
Shares sold | 4,482,202 | 10,443,380 | $ 43,382,649 | $ 110,997,567 |
Reinvestment of distributions | 674,655 | 1,758,963 | 6,428,526 | 18,626,931 |
Shares redeemed | (9,293,195) | (26,180,797) | (89,999,382) | (277,194,128) |
Net increase (decrease) | (4,136,338) | (13,978,454) | $ (40,188,207) | $ (147,569,630) |
Class B |
|
|
|
|
Shares sold | 355,157 | 542,893 | $ 3,421,658 | $ 5,772,343 |
Reinvestment of distributions | 23,233 | 58,357 | 220,987 | 616,990 |
Shares redeemed | (555,693) | (1,259,274) | (5,368,914) | (13,340,826) |
Net increase (decrease) | (177,303) | (658,024) | $ (1,726,269) | $ (6,951,493) |
Class C |
|
|
|
|
Shares sold | 1,452,272 | 1,247,916 | $ 13,932,508 | $ 13,263,460 |
Reinvestment of distributions | 81,074 | 166,125 | 770,048 | 1,753,152 |
Shares redeemed | (1,113,482) | (1,839,485) | (10,695,243) | (19,383,480) |
Net increase (decrease) | 419,864 | (425,444) | $ 4,007,313 | $ (4,366,868) |
Institutional Class |
|
|
|
|
Shares sold | 2,602,480 | 4,941,786 | $ 25,200,052 | $ 52,330,544 |
Reinvestment of distributions | 717,438 | 2,074,699 | 6,849,721 | 22,020,750 |
Shares redeemed | (10,154,024) | (39,037,602) | (99,730,823) | (418,220,539) |
Net increase (decrease) | (6,834,106) | (32,021,117) | $ (67,681,050) | $ (343,869,245) |
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Notes to Financial Statements (Unaudited) - continued
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fidelity Advisor Freedom Funds were the owners of record, in the aggregate, of approximately 25% of the total outstanding shares of the Fund. Subsequent to period end, the Fidelity Advisor Freedom Funds sold all their shares of the Fund.
Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro-rata portion of CMBS' net assets.
In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro-rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.
13. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
Fidelity Investments Money
Management, Inc.
FIL Investment Advisors
FIL Investment Advisors
(U.K.) Ltd.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
LTB-USAN-0409 1.784888.106
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Intermediate Bond
Fund - Institutional Class
Semiannual Report
February 28, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .88% |
|
|
|
Actual |
| $ 1,000.00 | $ 938.70 | $ 4.23 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.43 | $ 4.41 |
Class T | .82% |
|
|
|
Actual |
| $ 1,000.00 | $ 939.00 | $ 3.94 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.73 | $ 4.11 |
Class B | 1.55% |
|
|
|
Actual |
| $ 1,000.00 | $ 935.50 | $ 7.44 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | 1.62% |
|
|
|
Actual |
| $ 1,000.00 | $ 935.10 | $ 7.77 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.76 | $ 8.10 |
Institutional Class | .54% |
|
|
|
Actual |
| $ 1,000.00 | $ 939.50 | $ 2.60 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.12 | $ 2.71 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments in each non-money market Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2009 | As of August 31, 2008 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 11.7% |
| ![]() | AAA 14.1% |
| ||
![]() | AA 6.5% |
| ![]() | AA 8.2% |
| ||
![]() | A 14.8% |
| ![]() | A 10.8% |
| ||
![]() | BBB 23.3% |
| ![]() | BBB 20.1% |
| ||
![]() | BB and Below 5.1% |
| ![]() | BB and Below 4.5% |
| ||
![]() | Not Rated 0.4% |
| ![]() | Not Rated 0.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of February 28, 2009 | ||
|
| 6 months ago |
Years | 4.7 | 4.5 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of February 28, 2009 | ||
|
| 6 months ago |
Years | 3.5 | 4.0 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2009 * | As of August 31, 2008 ** | ||||||
![]() | Corporate Bonds 45.8% |
| ![]() | Corporate Bonds 39.2% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related Securities 11.4% |
| ![]() | CMOs and Other Mortgage Related Securities 13.1% |
| ||
![]() | Other Investments 0.3% |
| ![]() | Other Investments 0.4% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 9.1% |
| ** Foreign investments | 10.1% |
| ||
* Futures and Swaps | 17.7% |
| ** Futures and Swaps | 18.7% |
|
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. |
Semiannual Report
Investments February 28, 2009 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 33.1% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 2.6% | ||||
Auto Components - 0.2% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 9/8/11 | $ 1,126,000 | $ 1,060,123 | ||
5.875% 3/15/11 | 418,000 | 397,883 | ||
| 1,458,006 | |||
Hotels, Restaurants & Leisure - 0.1% | ||||
McDonald's Corp. 5.35% 3/1/18 | 471,000 | 485,572 | ||
Household Durables - 0.1% | ||||
Fortune Brands, Inc. 5.125% 1/15/11 | 853,000 | 840,700 | ||
Media - 1.6% | ||||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 379,000 | 384,622 | ||
6.875% 5/1/12 | 491,000 | 494,928 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 103,000 | 106,728 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 378,000 | 337,863 | ||
5.5% 3/15/11 | 77,000 | 78,122 | ||
5.7% 5/15/18 | 597,000 | 551,686 | ||
5.85% 1/15/10 | 12,000 | 12,148 | ||
COX Communications, Inc.: | ||||
4.625% 1/15/10 | 431,000 | 427,317 | ||
4.625% 6/1/13 | 899,000 | 812,825 | ||
News America, Inc.: | ||||
4.75% 3/15/10 | 49,000 | 47,809 | ||
5.3% 12/15/14 | 176,000 | 165,753 | ||
6.9% 3/1/19 (b) | 3,089,000 | 2,924,659 | ||
Time Warner Cable, Inc.: | ||||
5.4% 7/2/12 | 492,000 | 473,350 | ||
5.85% 5/1/17 | 1,328,000 | 1,200,953 | ||
6.2% 7/1/13 | 468,000 | 453,231 | ||
6.75% 7/1/18 | 1,486,000 | 1,408,838 | ||
8.75% 2/14/19 | 673,000 | 718,390 | ||
Time Warner, Inc. 5.875% 11/15/16 | 1,232,000 | 1,154,409 | ||
Viacom, Inc. 6.125% 10/5/17 | 905,000 | 744,828 | ||
| 12,498,459 | |||
Multiline Retail - 0.0% | ||||
Macy's Retail Holdings, Inc. 7.875% 7/15/15 | 472,000 | 338,589 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.6% | ||||
Home Depot, Inc. 2.0463% 12/16/09 (g) | $ 861,000 | $ 836,066 | ||
Staples, Inc. 9.75% 1/15/14 | 3,990,000 | 4,186,172 | ||
| 5,022,238 | |||
TOTAL CONSUMER DISCRETIONARY | 20,643,564 | |||
CONSUMER STAPLES - 2.2% | ||||
Beverages - 0.5% | ||||
Anheuser-Busch Companies, Inc. 6.45% 9/1/37 | 15,000 | 12,802 | ||
Diageo Capital PLC: | ||||
5.2% 1/30/13 | 209,000 | 212,724 | ||
5.75% 10/23/17 | 2,056,000 | 2,048,091 | ||
FBG Finance Ltd. 5.125% 6/15/15 (b) | 591,000 | 501,975 | ||
PepsiCo, Inc. 7.9% 11/1/18 | 840,000 | 1,009,443 | ||
| 3,785,035 | |||
Food & Staples Retailing - 0.4% | ||||
CVS Caremark Corp.: | ||||
2.5025% 6/1/10 (g) | 462,000 | 447,864 | ||
6.036% 12/10/28 (b) | 462,422 | 352,953 | ||
6.302% 6/1/37 (g) | 3,463,000 | 2,129,745 | ||
| 2,930,562 | |||
Food Products - 0.4% | ||||
Cargill, Inc. 6% 11/27/17 (b) | 142,000 | 132,470 | ||
General Mills, Inc.: | ||||
5.2% 3/17/15 | 867,000 | 870,731 | ||
5.65% 2/15/19 | 319,000 | 318,733 | ||
Kraft Foods, Inc.: | ||||
5.625% 11/1/11 | 737,000 | 770,218 | ||
6.125% 2/1/18 | 1,012,000 | 1,005,429 | ||
6.75% 2/19/14 | 109,000 | 116,347 | ||
| 3,213,928 | |||
Personal Products - 0.0% | ||||
Avon Products, Inc. 4.8% 3/1/13 | 360,000 | 351,202 | ||
Tobacco - 0.9% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 3,399,000 | 3,558,746 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 1,211,000 | 1,223,969 | ||
5.65% 5/16/18 | 807,000 | 783,291 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
CONSUMER STAPLES - continued | ||||
Tobacco - continued | ||||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | $ 589,000 | $ 497,445 | ||
7.25% 6/15/37 | 1,575,000 | 1,146,465 | ||
| 7,209,916 | |||
TOTAL CONSUMER STAPLES | 17,490,643 | |||
ENERGY - 3.6% | ||||
Energy Equipment & Services - 0.5% | ||||
DCP Midstream LLC 9.75% 3/15/19 (b) | 687,000 | 666,026 | ||
Noble Drilling Corp. 5.875% 6/1/13 | 218,000 | 211,537 | ||
Transocean Ltd. 5.25% 3/15/13 | 698,000 | 691,357 | ||
Weatherford International Ltd.: | ||||
4.95% 10/15/13 | 351,000 | 299,069 | ||
5.15% 3/15/13 | 1,803,000 | 1,594,754 | ||
| 3,462,743 | |||
Oil, Gas & Consumable Fuels - 3.1% | ||||
Anadarko Petroleum Corp. 6.45% 9/15/36 | 540,000 | 412,365 | ||
BW Group Ltd. 6.625% 6/28/17 (b) | 595,000 | 312,375 | ||
Canadian Natural Resources Ltd.: | ||||
5.15% 2/1/13 | 906,000 | 866,243 | ||
5.7% 5/15/17 | 233,000 | 205,766 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (b) | 830,000 | 825,243 | ||
ConocoPhillips: | ||||
4.75% 2/1/14 | 212,000 | 214,397 | ||
5.75% 2/1/19 | 1,600,000 | 1,565,690 | ||
Devon Energy Corp. 5.625% 1/15/14 | 472,000 | 475,644 | ||
Duke Capital LLC 6.25% 2/15/13 | 201,000 | 199,251 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (b) | 246,000 | 201,783 | ||
6.875% 2/1/11 | 466,000 | 465,033 | ||
7.875% 8/16/10 | 209,000 | 211,502 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 188,000 | 160,846 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (b) | 341,000 | 342,211 | ||
Enbridge Energy Partners LP: | ||||
5.875% 12/15/16 | 364,000 | 312,155 | ||
6.5% 4/15/18 | 477,000 | 416,089 | ||
9.875% 3/1/19 | 590,000 | 612,419 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 581,000 | 563,949 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 | $ 392,000 | $ 390,080 | ||
5.6% 10/15/14 | 394,000 | 365,852 | ||
5.65% 4/1/13 | 140,000 | 133,914 | ||
Gazstream SA 5.625% 7/22/13 (b) | 1,604,145 | 1,435,710 | ||
Gulf South Pipeline Co. LP 5.75% 8/15/12 (b) | 778,000 | 706,650 | ||
Lukoil International Finance BV 6.656% 6/7/22 (b) | 246,000 | 167,280 | ||
Nakilat, Inc. 6.067% 12/31/33 (b) | 302,000 | 197,164 | ||
Nexen, Inc.: | ||||
5.05% 11/20/13 | 774,000 | 703,061 | ||
5.2% 3/10/15 | 183,000 | 156,993 | ||
6.4% 5/15/37 | 1,015,000 | 716,304 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (b) | 1,517,000 | 1,466,584 | ||
Pemex Project Funding Master Trust 3.2963% 6/15/10 (b)(g) | 251,000 | 242,215 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 435,000 | 358,576 | ||
6.8% 5/15/38 | 285,000 | 209,876 | ||
Petroleos Mexicanos 8% 5/3/19 (b) | 199,000 | 195,518 | ||
Plains All American Pipeline LP 7.75% 10/15/12 | 475,000 | 478,310 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (b) | 601,000 | 619,100 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III 5.832% 9/30/16 (b) | 270,000 | 236,048 | ||
Rockies Express Pipeline LLC 6.25% 7/15/13 (b) | 548,000 | 533,313 | ||
Source Gas LLC 5.9% 4/1/17 (b) | 713,000 | 534,487 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 1,222,000 | 1,007,060 | ||
TEPPCO Partners LP: | ||||
5.9% 4/15/13 | 652,000 | 588,821 | ||
6.65% 4/15/18 | 588,000 | 495,743 | ||
Texas Eastern Transmission LP 6% 9/15/17 (b) | 1,462,000 | 1,365,675 | ||
TransCanada PipeLines Ltd. 6.35% 5/15/67 (g) | 477,000 | 288,585 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 525,000 | 503,484 | ||
Valero Energy Corp. 6.625% 6/15/37 | 745,000 | 568,823 | ||
XTO Energy, Inc.: | ||||
5% 1/31/15 | 352,000 | 326,767 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
XTO Energy, Inc.: - continued | ||||
5.65% 4/1/16 | $ 242,000 | $ 227,133 | ||
5.9% 8/1/12 | 896,000 | 888,064 | ||
| 24,470,151 | |||
TOTAL ENERGY | 27,932,894 | |||
FINANCIALS - 15.0% | ||||
Capital Markets - 3.2% | ||||
Bear Stearns Companies, Inc.: | ||||
1.2625% 10/22/10 (g) | 471,000 | 453,166 | ||
1.346% 8/21/09 (g) | 236,000 | 232,322 | ||
1.3525% 7/16/09 (g) | 116,000 | 114,626 | ||
2.4556% 9/9/09 (g) | 256,000 | 251,859 | ||
3.25% 3/25/09 | 138,000 | 138,005 | ||
4.245% 1/7/10 | 245,000 | 240,140 | ||
4.5% 10/28/10 | 369,000 | 366,172 | ||
5.3% 10/30/15 | 236,000 | 217,660 | ||
5.85% 7/19/10 | 759,000 | 765,503 | ||
6.95% 8/10/12 | 272,000 | 281,538 | ||
BlackRock, Inc. 6.25% 9/15/17 | 2,338,000 | 2,223,291 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 1,188,000 | 1,099,008 | ||
5.45% 11/1/12 | 759,000 | 731,626 | ||
5.95% 1/18/18 | 803,000 | 717,780 | ||
6.15% 4/1/18 | 397,000 | 360,734 | ||
6.6% 1/15/12 | 344,000 | 345,012 | ||
6.75% 10/1/37 | 1,280,000 | 910,122 | ||
6.875% 1/15/11 | 55,000 | 55,752 | ||
7.5% 2/15/19 | 2,354,000 | 2,331,505 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 | 483,000 | 338,026 | ||
6.5% 6/15/12 | 840,000 | 567,158 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 773,000 | 577,694 | ||
7.125% 5/15/15 | 277,000 | 210,270 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 2,104,000 | 1,878,333 | ||
6.15% 4/25/13 | 583,000 | 512,749 | ||
6.875% 4/25/18 | 534,000 | 444,317 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Morgan Stanley: | ||||
1.6475% 1/9/12 (g) | $ 1,126,000 | $ 925,347 | ||
1.6975% 1/9/14 (g) | 1,007,000 | 674,887 | ||
4.75% 4/1/14 | 160,000 | 134,161 | ||
5.05% 1/21/11 | 613,000 | 604,548 | ||
5.45% 1/9/17 | 200,000 | 172,580 | ||
5.95% 12/28/17 | 511,000 | 450,972 | ||
6.6% 4/1/12 | 1,151,000 | 1,142,887 | ||
6.625% 4/1/18 | 1,475,000 | 1,362,016 | ||
6.75% 4/15/11 | 168,000 | 168,688 | ||
Northern Trust Corp. 5.5% 8/15/13 | 272,000 | 281,379 | ||
The Bank of New York, Inc. 4.95% 11/1/12 | 778,000 | 782,530 | ||
UBS AG Stamford Branch: | ||||
5.75% 4/25/18 | 2,246,000 | 1,963,808 | ||
5.875% 12/20/17 | 601,000 | 532,454 | ||
| 25,560,625 | |||
Commercial Banks - 3.2% | ||||
American Express Bank FSB 5.5% 4/16/13 | 2,685,000 | 2,541,049 | ||
ANZ National International Ltd. 6.2% 7/19/13 (b) | 221,000 | 213,721 | ||
Bank One Corp.: | ||||
5.25% 1/30/13 | 187,000 | 181,658 | ||
7.875% 8/1/10 | 139,000 | 143,427 | ||
BB&T Corp. 6.5% 8/1/11 | 250,000 | 254,879 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 313,000 | 320,346 | ||
Credit Suisse First Boston 6% 2/15/18 | 2,057,000 | 1,866,156 | ||
Credit Suisse First Boston New York Branch 5% 5/15/13 | 1,368,000 | 1,320,721 | ||
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (b)(g) | 1,050,580 | 829,958 | ||
Export-Import Bank of Korea: | ||||
5.125% 2/14/11 | 588,000 | 568,376 | ||
5.25% 2/10/14 (b) | 114,000 | 102,336 | ||
5.5% 10/17/12 | 454,000 | 429,775 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 25,000 | 15,680 | ||
8.25% 3/1/38 | 423,000 | 306,532 | ||
HBOS PLC 6.75% 5/21/18 (b) | 679,000 | 545,088 | ||
HSBC Holdings PLC 1.6125% 10/6/16 (g) | 130,000 | 104,248 | ||
JPMorgan Chase Bank 6% 10/1/17 | 422,000 | 399,260 | ||
KeyBank NA 7% 2/1/11 | 226,000 | 223,372 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 720,000 | 720,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Korea Development Bank: - continued | ||||
4.625% 9/16/10 | $ 369,000 | $ 359,110 | ||
4.75% 7/20/09 | 189,000 | 188,111 | ||
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (b)(g) | 82,159 | 68,733 | ||
National City Bank, Cleveland: | ||||
4.15% 8/1/09 | 1,907,000 | 1,893,418 | ||
4.5% 3/15/10 | 592,000 | 588,230 | ||
PNC Funding Corp.: | ||||
1.3144% 1/31/12 (g) | 1,204,000 | 957,662 | ||
7.5% 11/1/09 | 408,000 | 406,560 | ||
Rabobank Capital Funding Trust II 5.26% (b)(g) | 115,000 | 49,450 | ||
Santander Issuances SA Unipersonal: | ||||
1.885% 6/20/16 (b)(g) | 397,758 | 299,487 | ||
5.805% 6/20/16 (b)(g) | 846,000 | 592,200 | ||
Sovereign Bank 2.88% 8/1/13 (g) | 186,453 | 139,051 | ||
Standard Chartered Bank 6.4% 9/26/17 (b) | 3,661,000 | 2,928,185 | ||
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (b)(g) | 590,000 | 265,500 | ||
Union Planters Corp. 7.75% 3/1/11 | 121,000 | 117,571 | ||
UnionBanCal Corp. 5.25% 12/16/13 | 133,000 | 124,029 | ||
Wachovia Bank NA 4.875% 2/1/15 | 283,000 | 252,527 | ||
Wachovia Corp.: | ||||
1.2244% 10/15/11 (g) | 808,000 | 716,897 | ||
1.255% 4/23/12 (g) | 109,000 | 94,004 | ||
2.2525% 12/1/09 (g) | 219,000 | 216,359 | ||
5.625% 10/15/16 | 684,000 | 608,322 | ||
5.75% 6/15/17 | 590,000 | 553,509 | ||
Wells Fargo & Co.: | ||||
4.2% 1/15/10 | 530,000 | 529,333 | ||
5.625% 12/11/17 | 2,063,000 | 1,958,156 | ||
| 24,992,986 | |||
Consumer Finance - 2.0% | ||||
American Express Credit Corp. 5.875% 5/2/13 | 117,000 | 107,454 | ||
American General Finance Corp. 6.9% 12/15/17 | 960,000 | 381,707 | ||
Capital One Financial Corp. 2.4694% 9/10/09 (g) | 660,000 | 635,479 | ||
Discover Financial Services: | ||||
2.6288% 6/11/10 (g) | 810,000 | 717,763 | ||
6.45% 6/12/17 | 460,000 | 348,004 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
General Electric Capital Corp.: | ||||
4.8% 5/1/13 | $ 5,300,000 | $ 4,992,107 | ||
5.625% 9/15/17 | 1,414,000 | 1,232,375 | ||
6.375% 11/15/67 (g) | 1,700,000 | 985,584 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 374,000 | 364,201 | ||
7% 5/15/12 | 94,000 | 93,473 | ||
HSBC Finance Corp.: | ||||
5.25% 1/14/11 | 263,000 | 258,123 | ||
5.25% 1/15/14 | 212,000 | 198,179 | ||
MBNA Corp. 7.5% 3/15/12 | 324,000 | 299,016 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (b) | 855,000 | 803,321 | ||
ORIX Corp. 5.48% 11/22/11 | 77,000 | 53,320 | ||
SLM Corp.: | ||||
1.2994% 7/27/09 (g) | 531,000 | 494,347 | ||
1.3194% 7/26/10 (g) | 2,393,000 | 1,971,777 | ||
1.3894% 10/25/11 (g) | 472,000 | 330,708 | ||
2.1963% 3/15/11 (g) | 23,000 | 17,467 | ||
4.5% 7/26/10 | 1,636,000 | 1,293,373 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (b) | 82,954 | 70,598 | ||
| 15,648,376 | |||
Diversified Financial Services - 2.2% | ||||
Bank of America Corp. 7.4% 1/15/11 | 1,744,000 | 1,619,095 | ||
BTM Curacao Holding NV 1.8975% 12/19/16 (b)(g) | 215,437 | 166,480 | ||
CIT Group, Inc.: | ||||
1.3866% 6/8/09 (g) | 236,000 | 225,628 | ||
4.75% 12/15/10 | 165,000 | 125,285 | ||
5.4% 2/13/12 | 494,000 | 372,898 | ||
Citigroup, Inc.: | ||||
1.3356% 5/18/11 (g) | 566,000 | 473,546 | ||
5.3% 10/17/12 | 2,125,000 | 1,884,956 | ||
5.5% 4/11/13 | 2,400,000 | 2,173,222 | ||
6.125% 5/15/18 | 333,000 | 287,166 | ||
6.5% 1/18/11 | 263,000 | 248,065 | ||
6.5% 8/19/13 | 1,239,000 | 1,155,116 | ||
CME Group, Inc. 5.75% 2/15/14 | 102,000 | 102,659 | ||
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18 | 1,260,000 | 1,297,212 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (b)(g) | 603,000 | 120,600 | ||
International Lease Finance Corp.: | ||||
5.4% 2/15/12 | 577,000 | 372,227 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
International Lease Finance Corp.: - continued | ||||
5.65% 6/1/14 | $ 2,025,000 | $ 1,184,315 | ||
6.375% 3/25/13 | 303,000 | 175,740 | ||
6.625% 11/15/13 | 548,000 | 312,360 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (g) | 549,000 | 440,921 | ||
5.6% 6/1/11 | 623,000 | 635,127 | ||
5.75% 1/2/13 | 446,000 | 440,520 | ||
6.75% 2/1/11 | 76,000 | 77,665 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (b) | 219,000 | 144,540 | ||
5.5% 1/15/14 (b) | 140,000 | 95,810 | ||
5.7% 4/15/17 (b) | 341,000 | 218,311 | ||
TECO Finance, Inc. 7% 5/1/12 | 1,500,000 | 1,419,386 | ||
TransCapitalInvest Ltd. 5.67% 3/5/14 (b) | 652,000 | 479,220 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (b)(g) | 1,008,000 | 410,280 | ||
ZFS Finance USA Trust IV 5.875% 5/9/32 (b)(g) | 503,000 | 193,816 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (b)(g) | 805,000 | 317,975 | ||
| 17,170,141 | |||
Insurance - 1.4% | ||||
Assurant, Inc.: | ||||
5.625% 2/15/14 | 385,000 | 317,870 | ||
6.75% 2/15/34 | 396,000 | 247,243 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 112,000 | 86,486 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(g) | 300,000 | 186,000 | ||
Jackson National Life Global Funding 5.375% 5/8/13 (b) | 152,000 | 138,883 | ||
Liberty Mutual Group, Inc. 6.5% 3/15/35 (b) | 120,000 | 72,919 | ||
MetLife, Inc.: | ||||
5% 6/15/15 | 234,000 | 217,203 | ||
6.125% 12/1/11 | 199,000 | 199,340 | ||
7.717% 2/15/19 | 1,116,000 | 1,076,811 | ||
Metropolitan Life Global Funding I: | ||||
4.625% 8/19/10 (b) | 664,000 | 646,646 | ||
5.125% 4/10/13 (b) | 113,000 | 107,950 | ||
Monumental Global Funding II 5.65% 7/14/11 (b) | 333,000 | 335,954 | ||
Monumental Global Funding III 5.5% 4/22/13 (b) | 443,000 | 390,456 | ||
Pacific Life Global Funding 5.15% 4/15/13 (b) | 1,522,000 | 1,484,579 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Pennsylvania Mutual Life Insurance Co. 6.65% 6/15/34 (b) | $ 3,000,000 | $ 2,498,835 | ||
Prudential Financial, Inc.: | ||||
5.15% 1/15/13 | 436,000 | 390,070 | ||
5.4% 6/13/35 | 91,000 | 53,826 | ||
5.5% 3/15/16 | 86,000 | 71,865 | ||
5.7% 12/14/36 | 77,000 | 47,031 | ||
8.875% 6/15/68 (g) | 598,000 | 340,860 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (b)(g) | 673,000 | 316,310 | ||
Symetra Financial Corp. 6.125% 4/1/16 (b) | 1,043,000 | 822,082 | ||
The Chubb Corp. 5.75% 5/15/18 | 415,000 | 399,103 | ||
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10 | 252,000 | 256,052 | ||
| 10,704,374 | |||
Real Estate Investment Trusts - 2.1% | ||||
AMB Property LP 5.9% 8/15/13 | 519,000 | 359,713 | ||
Arden Realty LP 5.2% 9/1/11 | 270,000 | 271,965 | ||
AvalonBay Communities, Inc.: | ||||
4.95% 3/15/13 | 74,000 | 65,506 | ||
5.5% 1/15/12 | 482,000 | 449,104 | ||
6.625% 9/15/11 | 165,000 | 159,193 | ||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | 621,000 | 598,470 | ||
5.625% 12/15/10 | 821,000 | 725,218 | ||
5.7% 5/1/17 | 481,000 | 240,034 | ||
5.75% 4/1/12 | 436,000 | 239,800 | ||
BRE Properties, Inc.: | ||||
4.875% 5/15/10 | 520,000 | 489,366 | ||
5.75% 9/1/09 | 123,000 | 122,440 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 298,000 | 268,200 | ||
5.375% 12/15/13 | 132,000 | 108,240 | ||
5.875% 11/30/12 | 596,000 | 512,560 | ||
Colonial Properties Trust 4.75% 2/1/10 | 1,138,000 | 1,088,124 | ||
CPG Partners LP 6% 1/15/13 | 205,000 | 182,219 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 607,000 | 428,401 | ||
5% 5/3/10 | 451,000 | 315,700 | ||
5.25% 4/15/11 | 490,000 | 241,162 | ||
5.375% 10/15/12 | 259,000 | 124,031 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Duke Realty LP: | ||||
4.625% 5/15/13 | $ 126,000 | $ 84,725 | ||
5.25% 1/15/10 | 91,000 | 86,763 | ||
5.4% 8/15/14 | 641,000 | 437,236 | ||
5.625% 8/15/11 | 595,000 | 506,944 | ||
5.875% 8/15/12 | 113,000 | 86,578 | ||
5.95% 2/15/17 | 110,000 | 67,993 | ||
6.25% 5/15/13 | 1,550,000 | 1,162,500 | ||
6.5% 1/15/18 | 855,000 | 529,085 | ||
Equity One, Inc.: | ||||
6% 9/15/17 | 172,000 | 113,437 | ||
6.25% 1/15/17 | 99,000 | 67,320 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 83,000 | 63,161 | ||
6% 7/15/12 | 590,000 | 485,407 | ||
6.2% 1/15/17 | 125,000 | 95,000 | ||
Hospitality Properties Trust 5.625% 3/15/17 | 242,000 | 134,725 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 179,000 | 118,140 | ||
6.25% 6/15/17 | 248,000 | 153,245 | ||
6.65% 1/15/18 | 124,000 | 78,912 | ||
Liberty Property LP: | ||||
5.125% 3/2/15 | 171,000 | 124,184 | ||
5.5% 12/15/16 | 299,000 | 206,190 | ||
6.625% 10/1/17 | 735,000 | 530,974 | ||
Mack-Cali Realty LP: | ||||
5.05% 4/15/10 | 163,000 | 153,220 | ||
7.25% 3/15/09 | 587,000 | 585,958 | ||
7.75% 2/15/11 | 196,000 | 184,240 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 221,000 | 211,709 | ||
4.875% 8/15/10 | 136,000 | 130,242 | ||
5% 3/1/12 | 73,000 | 62,780 | ||
5.375% 6/1/11 | 125,000 | 116,451 | ||
5.6% 9/1/11 | 547,000 | 508,531 | ||
5.75% 5/1/12 | 255,000 | 221,850 | ||
7.75% 1/20/11 | 165,000 | 157,751 | ||
Tanger Properties LP 6.15% 11/15/15 | 5,000 | 3,690 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
UDR, Inc. 5.5% 4/1/14 | $ 1,470,000 | $ 1,165,281 | ||
Washington (REIT) 5.95% 6/15/11 | 732,000 | 637,718 | ||
| 16,261,386 | |||
Real Estate Management & Development - 0.3% | ||||
ERP Operating LP: | ||||
5.375% 8/1/16 | 270,000 | 218,503 | ||
5.5% 10/1/12 | 484,000 | 440,956 | ||
5.75% 6/15/17 | 790,000 | 642,086 | ||
Post Apartment Homes LP: | ||||
5.45% 6/1/12 | 273,000 | 229,320 | ||
6.3% 6/1/13 | 483,000 | 396,060 | ||
Regency Centers LP: | ||||
4.95% 4/15/14 | 123,000 | 89,884 | ||
5.25% 8/1/15 | 429,000 | 297,632 | ||
5.875% 6/15/17 | 213,000 | 147,815 | ||
| 2,462,256 | |||
Thrifts & Mortgage Finance - 0.6% | ||||
Bank of America Corp.: | ||||
4.9% 5/1/13 | 892,000 | 785,779 | ||
5.65% 5/1/18 | 1,500,000 | 1,270,199 | ||
Countrywide Financial Corp.: | ||||
1.6863% 3/24/09 (g) | 465,000 | 463,907 | ||
4.5% 6/15/10 | 96,000 | 93,212 | ||
5.8% 6/7/12 | 587,000 | 537,940 | ||
Countrywide Home Loans, Inc.: | ||||
4.125% 9/15/09 | 775,000 | 767,881 | ||
6.25% 4/15/09 | 122,000 | 122,174 | ||
Independence Community Bank Corp.: | ||||
3.585% 6/20/13 (g) | 311,525 | 224,298 | ||
3.75% 4/1/14 (g) | 849,000 | 568,830 | ||
4.9% 9/23/10 | 341,000 | 318,876 | ||
| 5,153,096 | |||
TOTAL FINANCIALS | 117,953,240 | |||
HEALTH CARE - 0.7% | ||||
Biotechnology - 0.1% | ||||
Amgen, Inc. 5.85% 6/1/17 | 595,000 | 607,408 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - 0.1% | ||||
Coventry Health Care, Inc.: | ||||
5.95% 3/15/17 | $ 352,000 | $ 230,121 | ||
6.3% 8/15/14 | 728,000 | 530,032 | ||
| 760,153 | |||
Pharmaceuticals - 0.5% | ||||
AstraZeneca PLC: | ||||
5.9% 9/15/17 | 930,000 | 980,072 | ||
6.45% 9/15/37 | 695,000 | 734,010 | ||
Bristol-Myers Squibb Co. 5.45% 5/1/18 | 590,000 | 601,887 | ||
Novartis Capital Corp. 4.125% 2/10/14 | 590,000 | 595,470 | ||
Roche Holdings, Inc. 5% 3/1/14 (b) | 1,196,000 | 1,209,579 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 193,000 | 189,812 | ||
| 4,310,830 | |||
TOTAL HEALTH CARE | 5,678,391 | |||
INDUSTRIALS - 2.0% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
4.75% 8/15/10 (b) | 531,000 | 529,748 | ||
6.4% 12/15/11 (b) | 165,000 | 170,808 | ||
Bombardier, Inc. 6.3% 5/1/14 (b) | 1,575,000 | 1,055,250 | ||
| 1,755,806 | |||
Airlines - 1.1% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.855% 10/15/10 | 14,993 | 14,768 | ||
6.978% 10/1/12 | 83,118 | 76,884 | ||
7.024% 4/15/11 | 570,000 | 552,900 | ||
7.324% 4/15/11 | 500,000 | 475,000 | ||
7.858% 4/1/13 | 1,094,000 | 946,310 | ||
Continental Airlines, Inc.: | ||||
6.648% 9/15/17 | 649,993 | 513,494 | ||
6.82% 5/1/18 | 44,468 | 33,796 | ||
6.9% 7/2/19 | 174,768 | 140,688 | ||
7.056% 3/15/11 | 354,000 | 343,380 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 76,235 | 55,270 | ||
7.57% 11/18/10 | 3,200,000 | 2,928,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | $ 456,597 | $ 328,750 | ||
8.36% 7/20/20 | 310,934 | 239,419 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class 1A, 6.636% 1/2/24 | 113,586 | 81,214 | ||
6.071% 9/1/14 | 73,003 | 70,813 | ||
6.201% 3/1/10 | 46,507 | 43,949 | ||
6.602% 9/1/13 | 131,781 | 124,533 | ||
7.032% 4/1/12 | 403,228 | 386,091 | ||
7.186% 10/1/12 | 1,003,634 | 960,980 | ||
| 8,316,239 | |||
Building Products - 0.1% | ||||
Masco Corp. 2.3988% 3/12/10 (g) | 523,444 | 469,605 | ||
Industrial Conglomerates - 0.6% | ||||
Covidien International Finance SA: | ||||
5.15% 10/15/10 | 509,000 | 521,178 | ||
5.45% 10/15/12 | 124,000 | 126,902 | ||
6% 10/15/17 | 590,000 | 594,172 | ||
General Electric Co. 5.25% 12/6/17 | 3,525,000 | 3,244,325 | ||
| 4,486,577 | |||
Machinery - 0.0% | ||||
Atlas Copco AB 5.6% 5/22/17 (b) | 123,000 | 116,978 | ||
Road & Rail - 0.0% | ||||
CSX Corp. 6.25% 4/1/15 | 310,000 | 288,498 | ||
TOTAL INDUSTRIALS | 15,433,703 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
Communications Equipment - 0.1% | ||||
Cisco Systems, Inc.: | ||||
4.95% 2/15/19 | 707,000 | 683,272 | ||
5.9% 2/15/39 | 113,000 | 105,223 | ||
| 788,495 | |||
Electronic Equipment & Components - 0.2% | ||||
Tyco Electronics Group SA: | ||||
5.95% 1/15/14 | 594,000 | 513,989 | ||
6% 10/1/12 | 780,000 | 687,490 | ||
6.55% 10/1/17 | 475,000 | 358,140 | ||
| 1,559,619 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Office Electronics - 0.0% | ||||
Xerox Corp. 5.5% 5/15/12 | $ 322,000 | $ 298,478 | ||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
National Semiconductor Corp.: | ||||
2.2463% 6/15/10 (g) | 353,429 | 307,024 | ||
6.15% 6/15/12 | 299,000 | 234,480 | ||
| 541,504 | |||
TOTAL INFORMATION TECHNOLOGY | 3,188,096 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.0% | ||||
E.I. du Pont de Nemours & Co. 5% 1/15/13 | 95,000 | 97,038 | ||
Lubrizol Corp. 8.875% 2/1/19 | 187,000 | 191,728 | ||
| 288,766 | |||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | 369,000 | 263,424 | ||
Containers & Packaging - 0.1% | ||||
Pactiv Corp.: | ||||
5.875% 7/15/12 | 345,000 | 320,721 | ||
6.4% 1/15/18 | 352,000 | 287,004 | ||
Sealed Air Corp. 6.95% 5/15/09 (b) | 131,000 | 131,548 | ||
| 739,273 | |||
Metals & Mining - 0.4% | ||||
BHP Billiton Financial USA Ltd. 5.125% 3/29/12 | 398,000 | 407,012 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (b) | 403,000 | 414,920 | ||
Rio Tinto Finance Ltd.: | ||||
5.875% 7/15/13 | 657,000 | 597,209 | ||
6.5% 7/15/18 | 1,252,000 | 1,106,141 | ||
United States Steel Corp. 5.65% 6/1/13 | 299,000 | 244,627 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 467,000 | 449,470 | ||
| 3,219,379 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
MATERIALS - continued | ||||
Paper & Forest Products - 0.1% | ||||
International Paper Co.: | ||||
5.85% 10/30/12 | $ 30,000 | $ 26,715 | ||
7.4% 6/15/14 | 521,000 | 419,094 | ||
| 445,809 | |||
TOTAL MATERIALS | 4,956,651 | |||
TELECOMMUNICATION SERVICES - 1.9% | ||||
Diversified Telecommunication Services - 1.5% | ||||
AT&T Broadband Corp. 8.375% 3/15/13 | 520,000 | 554,713 | ||
AT&T, Inc.: | ||||
5.8% 2/15/19 | 1,769,000 | 1,717,867 | ||
6.7% 11/15/13 | 236,000 | 249,697 | ||
British Telecommunications PLC 8.625% 12/15/10 | 547,000 | 569,999 | ||
Deutsche Telekom International Financial BV: | ||||
5.25% 7/22/13 | 493,000 | 494,577 | ||
6.75% 8/20/18 | 731,000 | 747,725 | ||
SBC Communications, Inc.: | ||||
5.1% 9/15/14 | 437,000 | 433,344 | ||
5.875% 2/1/12 | 550,000 | 568,316 | ||
5.875% 8/15/12 | 197,000 | 204,371 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 984,000 | 966,902 | ||
4.95% 9/30/14 | 646,000 | 556,504 | ||
5.25% 10/1/15 | 527,000 | 444,553 | ||
6.999% 6/4/18 | 361,000 | 325,783 | ||
Telefonica Emisiones SAU: | ||||
1.555% 2/4/13 (g) | 484,000 | 415,831 | ||
6.421% 6/20/16 | 234,000 | 237,751 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 1,249,000 | 1,261,490 | ||
Verizon Communications, Inc. 6.1% 4/15/18 | 700,000 | 693,064 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 552,000 | 582,914 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 179,000 | 184,072 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 534,000 | 545,620 | ||
| 11,755,093 | |||
Wireless Telecommunication Services - 0.4% | ||||
America Movil SAB de CV: | ||||
4.125% 3/1/09 | 245,000 | 245,000 | ||
5.625% 11/15/17 | 364,000 | 338,413 | ||
Sprint Nextel Corp. 6% 12/1/16 | 230,000 | 149,500 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Verizon Wireless Capital LLC: | ||||
5.55% 2/1/14 (b) | $ 478,000 | $ 475,222 | ||
8.5% 11/15/18 (b) | 708,000 | 797,001 | ||
Vodafone Group PLC: | ||||
5% 12/16/13 | 462,000 | 463,212 | ||
5.5% 6/15/11 | 556,000 | 563,837 | ||
7.75% 2/15/10 | 372,000 | 386,636 | ||
| 3,418,821 | |||
TOTAL TELECOMMUNICATION SERVICES | 15,173,914 | |||
UTILITIES - 4.1% | ||||
Electric Utilities - 2.5% | ||||
AmerenUE 6.4% 6/15/17 | 601,000 | 586,148 | ||
Cleveland Electric Illuminating Co.: | ||||
5.65% 12/15/13 | 828,000 | 788,424 | ||
8.875% 11/15/18 | 238,000 | 262,934 | ||
Commonwealth Edison Co.: | ||||
5.4% 12/15/11 | 1,278,000 | 1,299,700 | ||
5.8% 3/15/18 | 1,300,000 | 1,234,879 | ||
Duke Energy Carolinas LLC: | ||||
5.25% 1/15/18 | 710,000 | 716,313 | ||
7% 11/15/18 | 126,000 | 143,885 | ||
EDP Finance BV: | ||||
5.375% 11/2/12 (b) | 401,000 | 394,305 | ||
6% 2/2/18 (b) | 2,033,000 | 1,887,907 | ||
Enel Finance International SA: | ||||
5.7% 1/15/13 (b) | 168,000 | 166,350 | ||
6.25% 9/15/17 (b) | 679,000 | 597,226 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 644,000 | 552,765 | ||
6.75% 5/1/11 | 134,000 | 134,016 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 397,000 | 396,583 | ||
FPL Group Capital, Inc. 7.875% 12/15/15 | 311,000 | 351,490 | ||
Illinois Power Co. 6.125% 11/15/17 | 83,000 | 78,096 | ||
Jersey Central Power & Light Co. 7.35% 2/1/19 | 355,000 | 356,375 | ||
Nevada Power Co.: | ||||
6.5% 5/15/18 | 3,950,000 | 3,729,590 | ||
6.5% 8/1/18 | 316,000 | 298,102 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 550,000 | 549,770 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (b) | $ 728,000 | $ 714,381 | ||
PacifiCorp 6% 1/15/39 | 242,000 | 239,162 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 154,000 | 141,126 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 449,000 | 438,803 | ||
6.125% 6/1/17 | 121,000 | 107,192 | ||
6.45% 8/15/12 | 751,000 | 733,231 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (g) | 1,200,000 | 720,000 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 681,000 | 699,505 | ||
Sierra Pacific Power Co. 5.45% 9/1/13 | 314,000 | 303,863 | ||
West Penn Power Co. 5.95% 12/15/17 (b) | 63,000 | 55,706 | ||
Wisconsin Electric Power Co. 6.25% 12/1/15 | 606,000 | 643,753 | ||
| 19,321,580 | |||
Gas Utilities - 0.1% | ||||
Southern Natural Gas Co. 5.9% 4/1/17 (b) | 89,000 | 75,934 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 624,000 | 645,400 | ||
| 721,334 | |||
Independent Power Producers & Energy Traders - 0.7% | ||||
Constellation Energy Group, Inc. 7% 4/1/12 | 1,297,000 | 1,262,618 | ||
Duke Capital LLC 5.668% 8/15/14 | 414,000 | 382,117 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 308,000 | 284,506 | ||
PPL Energy Supply LLC: | ||||
6.3% 7/15/13 | 2,000,000 | 1,985,860 | ||
6.5% 5/1/18 | 865,000 | 749,213 | ||
TXU Corp. 5.55% 11/15/14 | 1,645,000 | 822,500 | ||
| 5,486,814 | |||
Multi-Utilities - 0.8% | ||||
CenterPoint Energy, Inc. 5.95% 2/1/17 | 360,000 | 293,600 | ||
CMS Energy Corp. 6.55% 7/17/17 | 1,740,000 | 1,535,392 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 791,000 | 795,803 | ||
6.3% 9/30/66 (g) | 803,000 | 473,770 | ||
7.5% 6/30/66 (g) | 1,025,000 | 666,250 | ||
DTE Energy Co. 7.05% 6/1/11 | 198,000 | 199,850 | ||
KeySpan Corp. 7.625% 11/15/10 | 100,000 | 104,230 | ||
MidAmerican Energy Holdings, Co. 5.875% 10/1/12 | 588,000 | 605,867 | ||
National Grid PLC 6.3% 8/1/16 | 297,000 | 283,584 | ||
NiSource Finance Corp.: | ||||
5.25% 9/15/17 | 170,000 | 125,227 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
NiSource Finance Corp.: - continued | ||||
5.4% 7/15/14 | $ 271,000 | $ 212,786 | ||
5.45% 9/15/20 | 57,000 | 39,031 | ||
6.4% 3/15/18 | 311,000 | 244,155 | ||
7.875% 11/15/10 | 206,000 | 201,751 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (g) | 1,242,000 | 757,620 | ||
WPS Resources Corp. 6.11% 12/1/66 (g) | 178,000 | 94,340 | ||
| 6,633,256 | |||
TOTAL UTILITIES | 32,162,984 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $275,500,569) | 260,614,080 | |||
U.S. Government and Government Agency Obligations - 15.6% | ||||
| ||||
U.S. Government Agency Obligations - 4.5% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 | 4,850,000 | 5,205,408 | ||
5% 2/16/12 (d) | 28,035,000 | 30,479,302 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 35,684,710 | |||
U.S. Treasury Inflation Protected Obligations - 9.1% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
2% 1/15/14 (d) | 32,096,676 | 31,958,152 | ||
2% 7/15/14 | 29,008,200 | 28,892,146 | ||
2.625% 7/15/17 | 10,147,200 | 10,367,792 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 71,218,090 | |||
U.S. Treasury Obligations - 2.0% | ||||
U.S. Treasury Notes: | ||||
1.875% 2/28/14 | 947,000 | 940,494 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
3.75% 11/15/18 | $ 3,800,000 | $ 4,026,518 | ||
4% 8/15/18 | 10,000,000 | 10,789,840 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 15,756,852 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $121,899,285) | 122,659,652 | |||
U.S. Government Agency - Mortgage Securities - 14.6% | ||||
| ||||
Fannie Mae - 8.6% | ||||
3.782% 6/1/34 (g) | 551,826 | 553,376 | ||
3.915% 7/1/35 (g) | 437,563 | 439,432 | ||
4% 8/1/18 | 2,283,831 | 2,310,251 | ||
4.303% 3/1/33 (g) | 54,501 | 55,400 | ||
4.318% 7/1/35 (g) | 371,315 | 375,054 | ||
4.331% 2/1/35 (g) | 414,374 | 417,075 | ||
4.34% 1/1/35 (g) | 139,918 | 142,235 | ||
4.386% 2/1/35 (g) | 215,736 | 219,520 | ||
4.389% 12/1/33 (g) | 4,640,498 | 4,697,634 | ||
4.411% 4/1/33 (g) | 223,289 | 223,458 | ||
4.423% 5/1/35 (g) | 64,309 | 65,250 | ||
4.432% 3/1/35 (g) | 197,236 | 200,425 | ||
4.435% 6/1/35 (g) | 480,068 | 486,826 | ||
4.456% 7/1/35 (g) | 334,741 | 333,124 | ||
4.481% 3/1/35 (g) | 412,179 | 417,437 | ||
4.5% 4/1/20 to 3/1/35 | 1,854,957 | 1,877,215 | ||
4.54% 5/1/35 (g) | 286,304 | 290,235 | ||
4.543% 11/1/34 (g) | 345,582 | 348,630 | ||
4.547% 3/1/35 (g) | 652,312 | 655,665 | ||
4.548% 10/1/33 (g) | 90,008 | 90,880 | ||
4.55% 10/1/35 (g) | 2,203,556 | 2,232,245 | ||
4.583% 8/1/34 (g) | 306,351 | 310,764 | ||
4.6% 10/1/33 (g) | 102,317 | 102,584 | ||
4.603% 7/1/35 (g) | 49,222 | 49,636 | ||
4.616% 9/1/35 (g) | 2,158,066 | 2,200,163 | ||
4.623% 2/1/33 (g) | 100,170 | 100,766 | ||
4.646% 2/1/35 (g) | 2,944,364 | 2,991,537 | ||
4.649% 10/1/35 (g) | 260,522 | 262,877 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
4.651% 10/1/33 (g) | $ 40,344 | $ 40,500 | ||
4.667% 7/1/35 (g) | 550,833 | 561,366 | ||
4.686% 10/1/34 (g) | 424,251 | 427,751 | ||
4.69% 12/1/34 (g) | 264,496 | 267,540 | ||
4.742% 12/1/34 (g) | 107,355 | 108,568 | ||
4.747% 4/1/35 (g) | 45,539 | 46,274 | ||
4.765% 8/1/33 (g) | 114,712 | 115,782 | ||
4.765% 2/1/34 (g) | 34,115 | 34,758 | ||
4.784% 7/1/34 (g) | 2,535,934 | 2,571,557 | ||
4.792% 1/1/35 (g) | 78,568 | 79,711 | ||
4.798% 4/1/36 (g) | 1,529,159 | 1,534,803 | ||
4.806% 11/1/34 (g) | 326,934 | 331,085 | ||
4.81% 2/1/36 (g) | 145,381 | 147,525 | ||
4.855% 10/1/34 (g) | 1,445,058 | 1,462,960 | ||
4.891% 10/1/35 (g) | 41,687 | 42,311 | ||
4.946% 7/1/34 (g) | 49,010 | 49,546 | ||
4.987% 7/1/35 (g) | 3,117,184 | 3,171,064 | ||
5.046% 3/1/35 (g) | 19,839 | 19,940 | ||
5.06% 9/1/34 (g) | 861,817 | 871,403 | ||
5.087% 10/1/33 (g) | 1,943,084 | 1,975,356 | ||
5.089% 9/1/34 (g) | 109,536 | 110,755 | ||
5.141% 5/1/35 (g) | 78,860 | 80,447 | ||
5.16% 10/1/18 (g) | 47,890 | 48,476 | ||
5.185% 3/1/35 (g) | 60,870 | 61,963 | ||
5.192% 5/1/35 (g) | 1,433,956 | 1,466,382 | ||
5.193% 6/1/35 (g) | 445,895 | 449,802 | ||
5.198% 3/1/35 (g) | 73,308 | 73,666 | ||
5.264% 11/1/36 (g) | 465,954 | 477,499 | ||
5.31% 12/1/34 (g) | 152,152 | 154,134 | ||
5.408% 1/1/36 (g) | 592,097 | 600,434 | ||
5.456% 2/1/36 (g) | 2,191,808 | 2,265,236 | ||
5.5% 8/1/14 to 12/1/14 | 1,477,602 | 1,545,171 | ||
5.51% 11/1/36 (g) | 774,695 | 789,430 | ||
5.564% 1/1/36 (g) | 662,947 | 685,299 | ||
5.593% 7/1/37 (g) | 343,965 | 354,932 | ||
5.607% 1/1/34 (g) | 234,248 | 237,821 | ||
5.798% 1/1/36 (g) | 455,834 | 474,185 | ||
5.821% 7/1/46 (g) | 3,996,795 | 4,153,153 | ||
5.822% 3/1/36 (g) | 1,449,234 | 1,503,206 | ||
5.995% 3/1/33 (g) | 40,571 | 41,035 | ||
6% 5/1/16 to 4/1/17 | 558,433 | 584,380 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
6.013% 4/1/36 (g) | $ 266,602 | $ 277,112 | ||
6.192% 2/1/35 (g) | 65,731 | 66,859 | ||
6.243% 6/1/36 (g) | 125,359 | 127,396 | ||
6.328% 4/1/36 (g) | 262,430 | 273,133 | ||
6.5% 12/1/13 to 3/1/35 | 11,464,938 | 12,094,113 | ||
7% 11/1/11 to 6/1/33 | 1,554,994 | 1,661,093 | ||
7.5% 8/1/17 to 9/1/28 | 523,129 | 557,823 | ||
8.5% 5/1/21 to 9/1/25 | 92,249 | 98,257 | ||
9.5% 2/1/25 | 15,202 | 16,426 | ||
10.5% 8/1/20 | 18,773 | 21,409 | ||
11% 8/1/15 | 21,641 | 22,153 | ||
12.5% 12/1/13 to 4/1/15 | 10,324 | 11,883 | ||
TOTAL FANNIE MAE | 67,694,557 | |||
Freddie Mac - 2.2% | ||||
3.456% 2/1/34 (g) | 109,267 | 109,154 | ||
3.883% 1/1/35 (g) | 221,638 | 223,503 | ||
4.275% 6/1/35 (g) | 176,565 | 179,080 | ||
4.315% 12/1/34 (g) | 145,811 | 148,172 | ||
4.322% 3/1/35 (g) | 249,974 | 253,854 | ||
4.361% 2/1/35 (g) | 330,024 | 334,500 | ||
4.407% 3/1/35 (g) | 180,340 | 182,977 | ||
4.471% 3/1/35 (g) | 166,726 | 169,180 | ||
4.522% 2/1/35 (g) | 311,026 | 316,074 | ||
5% 3/1/19 | 5,896,466 | 6,108,392 | ||
5% 3/12/39 (c) | 1,000,000 | 1,015,776 | ||
5.142% 4/1/35 (g) | 816,573 | 834,825 | ||
5.288% 3/1/35 (g) | 113,273 | 113,889 | ||
5.294% 1/1/34 (g) | 961,275 | 977,558 | ||
5.521% 1/1/36 (g) | 926,805 | 954,840 | ||
5.526% 2/1/35 (g) | 202,117 | 203,229 | ||
5.694% 10/1/35 (g) | 229,541 | 239,225 | ||
5.86% 6/1/36 (g) | 301,239 | 312,317 | ||
5.977% 6/1/36 (g) | 273,418 | 283,683 | ||
6.095% 3/1/33 (g) | 25,767 | 26,171 | ||
6.101% 6/1/36 (g) | 293,437 | 305,343 | ||
6.594% 1/1/37 (g) | 1,731,287 | 1,806,491 | ||
6.837% 10/1/36 (g) | 2,190,269 | 2,285,410 | ||
8.5% 9/1/24 to 8/1/27 | 75,200 | 80,705 | ||
10.5% 5/1/21 | 801 | 808 | ||
11% 12/1/11 | 136 | 137 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Freddie Mac - continued | ||||
11.5% 10/1/15 | $ 5,066 | $ 5,657 | ||
11.75% 10/1/10 | 3,205 | 3,324 | ||
TOTAL FREDDIE MAC | 17,474,274 | |||
Government National Mortgage Association - 3.8% | ||||
4.25% 7/20/34 (g) | 304,253 | 305,385 | ||
5.5% 3/18/39 (c) | 7,000,000 | 7,189,608 | ||
5.5% 3/18/39 (c) | 8,000,000 | 8,216,694 | ||
5.5% 3/18/39 (c) | 6,000,000 | 6,162,521 | ||
5.5% 3/18/39 (c) | 7,000,000 | 7,189,608 | ||
7% 7/15/28 to 11/15/28 | 382,193 | 406,832 | ||
7.5% 2/15/28 to 10/15/28 | 6,279 | 6,645 | ||
8% 6/15/24 to 10/15/24 | 6,840 | 7,271 | ||
8.5% 5/15/17 to 10/15/21 | 95,546 | 103,668 | ||
11% 7/20/19 to 8/20/19 | 4,785 | 5,553 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 29,593,785 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $112,573,446) | 114,762,616 | |||
Asset-Backed Securities - 2.7% | ||||
| ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-4 Class A2D, 0.8238% 1/25/35 (g) | 11,532 | 4,110 | ||
Series 2005-1 Class M1, 0.9438% 4/25/35 (g) | 212,546 | 125,374 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.2238% 7/25/36 (g) | 95,099 | 732 | ||
Class M8, 1.3238% 7/25/36 (g) | 47,123 | 250 | ||
Class M9, 2.1738% 7/25/36 (g) | 31,137 | 109 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HS1: | ||||
Class M1, 1.5988% 6/25/33 (g) | 31 | 31 | ||
Class M2, 3.0988% 6/25/33 (g) | 14,181 | 9,857 | ||
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (g) | 33,851 | 29,977 | ||
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (g) | 70,866 | 30,846 | ||
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (g) | 29,895 | 24,486 | ||
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (g) | 3,927 | 3,576 | ||
Series 2006-HE2: | ||||
Class M3, 0.8138% 5/25/36 (g) | 41,322 | 1,273 | ||
Class M4, 0.8738% 5/25/36 (g) | 34,920 | 737 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
ACE Securities Corp. Home Equity Loan Trust: - continued | ||||
Series 2006-HE2: | ||||
Class M5, 0.9138% 5/25/36 (g) | $ 50,770 | $ 792 | ||
Series 2006-OP1: | ||||
Class M4, 0.8438% 4/25/36 (g) | 19,400 | 793 | ||
Class M5, 0.8638% 4/25/36 (g) | 18,430 | 632 | ||
Advanta Business Card Master Trust: | ||||
Series 2005-A2 Class A2, 0.6% 5/20/13 (g) | 1,200,000 | 900,000 | ||
Series 2006-A7 Class A7, 0.49% 10/20/12 (g) | 550,000 | 440,000 | ||
Series 2006-C1 Class C1, 0.95% 10/20/14 (g) | 135,664 | 9,496 | ||
Series 2007-A4 Class A4, 0.5% 4/22/13 (g) | 497,203 | 367,930 | ||
Series 2007-B1 Class B, 0.72% 12/22/14 (g) | 287,139 | 43,071 | ||
Series 2007-D1 Class D, 1.87% 1/22/13 (b)(g) | 1,420,000 | 99,400 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (b)(g) | 111,433 | 109,918 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (b)(g) | 28,292 | 25,684 | ||
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10 | 64,434 | 63,991 | ||
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class M7, 1.3238% 10/25/36 (g) | 20,392 | 12 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.1738% 12/25/33 (g) | 18,501 | 11,708 | ||
Series 2004-R10 Class M1, 1.1738% 11/25/34 (g) | 77,309 | 34,436 | ||
Series 2004-R11 Class M1, 1.1338% 11/25/34 (g) | 66,534 | 32,652 | ||
Series 2004-R2: | ||||
Class M1, 0.9038% 4/25/34 (g) | 29,255 | 22,316 | ||
Class M3, 1.0238% 4/25/34 (g) | 19,176 | 7,304 | ||
Series 2005-R1 Class M1, 0.9238% 3/25/35 (g) | 107,398 | 62,602 | ||
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (g) | 97,414 | 66,784 | ||
Series 2005-R2 Class M1, 0.9238% 4/25/35 (g) | 235,341 | 135,498 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (g) | 20,578 | 10,311 | ||
Argent Securities, Inc.: | ||||
Series 2006-M1 Class M7, 1.4738% 7/25/36 (g) | 86,250 | 233 | ||
Series 2006-M2 Class M7, 1.3738% 9/25/36 (g) | 78,844 | 71 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.7794% 3/1/34 (g) | 5,463 | 1,106 | ||
Series 2004-W11 Class M2, 1.1738% 11/25/34 (g) | 63,962 | 23,717 | ||
Series 2004-W5 Class M1, 1.0738% 4/25/34 (g) | 77,406 | 45,562 | ||
Series 2004-W7: | ||||
Class M1, 1.0238% 5/25/34 (g) | 67,706 | 21,406 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Argent Securities, Inc. pass-thru certificates: - continued | ||||
Series 2004-W7: | ||||
Class M2, 1.0738% 5/25/34 (g) | $ 59,170 | $ 31,972 | ||
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (g) | 176,909 | 62,250 | ||
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (g) | 148,507 | 1,856 | ||
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (g) | 163,466 | 79,187 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (g) | 27,812 | 12,375 | ||
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (g) | 61,149 | 31,836 | ||
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (g) | 304,192 | 131,811 | ||
Series 2004-HE3: | ||||
Class M1, 1.0138% 6/25/34 (g) | 26,927 | 10,657 | ||
Class M2, 1.5938% 6/25/34 (g) | 47,415 | 29,684 | ||
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (g) | 47,497 | 18,308 | ||
Series 2006-HE6: | ||||
Class M7, 1.2738% 11/25/36 (g) | 46,948 | 577 | ||
Class M9, 2.6238% 11/25/36 (g) | 125,421 | 640 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (a)(b)(g) | 388,000 | 0 | ||
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (g) | 391,376 | 351,872 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (g) | 37,007 | 22,497 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (g) | 73,314 | 45,581 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2005-3 Class A1, 0.9238% 9/25/35 (g) | 12,441 | 9,074 | ||
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (g) | 110,386 | 50,150 | ||
Series 2005-HE2: | ||||
Class M1, 0.9738% 2/25/35 (g) | 173,975 | 57,632 | ||
Class M2, 1.2238% 2/25/35 (g) | 570,000 | 264,521 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (g) | 261,833 | 234,092 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (g) | 56,332 | 48,452 | ||
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.83% 6/15/10 (g) | 71,852 | 70,774 | ||
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (g) | 43,503 | 40,478 | ||
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (b)(g) | 331,468 | 238,601 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.92% 7/20/39 (b)(g) | 52,147 | 13,037 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Capital Trust Ltd. Series 2004-1: - continued | ||||
Class B, 1.22% 7/20/39 (b)(g) | $ 30,070 | $ 4,210 | ||
Class C, 1.57% 7/20/39 (b)(g) | 38,684 | 3,482 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (g) | 130,038 | 6,255 | ||
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (g) | 48,500 | 970 | ||
Series 2006-NC3 Class M10, 2.4738% 8/25/36 (b)(g) | 215,000 | 2,602 | ||
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (g) | 21,243 | 576 | ||
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (g) | 205,465 | 49,740 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (b)(g) | 31,093 | 22,535 | ||
Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (g) | 60,489 | 54,526 | ||
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14 | 38,887 | 19,444 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2003-HE4 Class A, 0.8838% 12/25/33 (b)(g) | 43,504 | 29,532 | ||
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (g) | 86,233 | 1,035 | ||
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (g) | 87,242 | 3,350 | ||
CNH Wholesale Master Note Trust Series 2006-1A: | ||||
Class A, 0.515% 7/15/12 (b)(g) | 149,147 | 146,860 | ||
Class B, 0.735% 7/15/12 (b)(g) | 149,147 | 140,663 | ||
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (b) | 37,648 | 4 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 1.3338% 5/25/33 (g) | 5,908 | 3,225 | ||
Series 2004-3: | ||||
Class 3A4, 0.7238% 8/25/34 (g) | 21,794 | 11,664 | ||
Class M1, 0.9738% 6/25/34 (g) | 75,408 | 49,621 | ||
Class M4, 1.4438% 4/25/34 (g) | 18,217 | 8,631 | ||
Series 2004-4: | ||||
Class A, 0.8438% 8/25/34 (g) | 4,770 | 2,255 | ||
Class M2, 1.0038% 6/25/34 (g) | 67,016 | 44,353 | ||
Series 2005-1: | ||||
Class M1, 0.8938% 8/25/35 (g) | 58,433 | 42,131 | ||
Class MV2, 0.9138% 7/25/35 (g) | 161,175 | 112,415 | ||
Series 2005-3 Class MV1, 0.8938% 8/25/35 (g) | 282,580 | 246,323 | ||
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (g) | 54,117 | 44,708 | ||
CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (b) | 17,379 | 15,858 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (b) | 715,000 | 464,300 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Discover Card Master Trust I: | ||||
Series 2006-1 Class B1, 0.605% 8/16/11 (g) | $ 242,461 | $ 240,484 | ||
Series 2006-2 Class B1, 0.575% 1/17/12 (g) | 331,468 | 297,063 | ||
Series 2007-1 Class B, 0.555% 8/15/12 (g) | 331,468 | 259,000 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (g) | 4,436 | 2,316 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.6488% 8/25/34 (g) | 33,155 | 8,246 | ||
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (g) | 513,111 | 144,633 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (g) | 2,587 | 1,362 | ||
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (g) | 55,632 | 50,945 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b) | 20,050 | 19,843 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (b) | 850,000 | 425,000 | ||
Series 2006-C Class D, 6.89% 5/15/13 (b) | 585,000 | 291,038 | ||
Series 2007-A Class D, 7.05% 12/15/13 (b) | 310,000 | 155,000 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2006-3 Class B, 0.905% 6/15/11 (g) | 230,782 | 161,547 | ||
Series 2006-4 Class B, 1.005% 6/15/13 (g) | 88,095 | 44,425 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 1.1488% 2/25/34 (g) | 8,218 | 2,342 | ||
Class M2, 1.2238% 2/25/34 (g) | 14,046 | 8,983 | ||
Series 2004-A Class M1, 1.2988% 1/25/34 (g) | 136,902 | 73,121 | ||
Series 2005-A: | ||||
Class M1, 0.9038% 1/25/35 (g) | 11,907 | 10,974 | ||
Class M2, 0.9338% 1/25/35 (g) | 200,130 | 73,154 | ||
Class M3, 0.9638% 1/25/35 (g) | 108,136 | 46,211 | ||
Class M4, 1.1538% 1/25/35 (g) | 41,438 | 20,307 | ||
Series 2006-A: | ||||
Class M4, 0.8738% 5/25/36 (g) | 103,111 | 1,413 | ||
Class M5, 0.9738% 5/25/36 (g) | 55,232 | 685 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (b)(g) | 268,496 | 180,891 | ||
GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (b)(g) | 40,918 | 25,369 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.5713% 9/17/12 (g) | 101,443 | 71,010 | ||
Class C, 0.7013% 9/17/12 (g) | 78,880 | 51,272 | ||
Series 2007-1 Class C, 0.7313% 3/15/13 (g) | 541,047 | 357,091 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (b) | $ 479,536 | $ 191,815 | ||
GSAMP Trust: | ||||
Series 2002-HE Class M1, 2.345% 11/20/32 (g) | 70,963 | 34,561 | ||
Series 2003-FM1 Class M1, 1.7% 3/20/33 (g) | 136,559 | 82,742 | ||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (b)(g) | 142,877 | 12,009 | ||
Class M1, 1.1238% 6/25/34 (g) | 250,008 | 95,036 | ||
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (g) | 46,464 | 24,864 | ||
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (g) | 119,518 | 68,787 | ||
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (g) | 65,461 | 21,249 | ||
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (g) | 103,732 | 4,948 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.8138% 11/25/34 (g) | 1,808 | 853 | ||
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (g) | 40,413 | 37,338 | ||
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (g) | 49,160 | 624 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.5538% 5/25/30 (b)(g) | 75,229 | 33,853 | ||
Series 2006-3: | ||||
Class B, 0.8738% 9/25/46 (b)(g) | 74,651 | 11,944 | ||
Class C, 1.0238% 9/25/46 (b)(g) | 174,018 | 20,882 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (b)(g) | 401,561 | 204,796 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 1.3538% 2/25/33 (g) | 46 | 10 | ||
Series 2003-3 Class M1, 1.7638% 8/25/33 (g) | 114,000 | 51,982 | ||
Series 2003-4 Class M1, 1.6738% 10/25/33 (g) | 33,755 | 14,949 | ||
Series 2003-5: | ||||
Class A2, 1.1738% 12/25/33 (g) | 3,753 | 1,103 | ||
Class M1, 1.5238% 12/25/33 (g) | 39,023 | 23,460 | ||
Series 2003-7 Class A2, 1.2338% 3/25/34 (g) | 189 | 39 | ||
Series 2003-8 Class M1, 1.5538% 4/25/34 (g) | 59,361 | 27,533 | ||
Series 2004-3 Class M2, 2.1738% 8/25/34 (g) | 38,676 | 23,518 | ||
Series 2004-7 Class A3, 0.8638% 1/25/35 (g) | 70 | 26 | ||
Series 2005-1 Class M1, 0.9038% 5/25/35 (g) | 148,669 | 132,833 | ||
Series 2005-3 Class M1, 0.8838% 8/25/35 (g) | 101,636 | 90,851 | ||
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (g) | 45,504 | 40,201 | ||
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (g) | 416,108 | 287,288 | ||
Series 2006-7 Class M4, 0.8538% 1/25/37 (g) | 130,756 | 601 | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (g) | 32,204 | 19,587 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (g) | 256,449 | 227,770 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 0.8194% 1/20/35 (g) | $ 88,073 | $ 46,593 | ||
Class M2, 0.8494% 1/20/35 (g) | 66,063 | 32,378 | ||
Series 2005-3 Class A1, 0.6194% 1/20/35 (g) | 46,324 | 24,785 | ||
Series 2006-2: | ||||
Class M1, 0.74% 3/20/36 (g) | 72,607 | 37,973 | ||
Class M2, 0.76% 3/20/36 (g) | 120,061 | 58,948 | ||
Series 2006-3 Class A1V, 0.55% 3/20/36 (g) | 79,280 | 75,619 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (g) | 141,116 | 42,357 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 0.6038% 11/25/36 (g) | 141,698 | 60,222 | ||
Class MV1, 0.7038% 11/25/36 (g) | 115,100 | 11,687 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 4.0988% 12/27/09 (g) | 126,385 | 98,156 | ||
Series 2006-A Class 2A1, 1.4963% 9/27/21 (g) | 85,839 | 83,568 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (b)(g) | 30,638 | 306 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 1.7038% 6/25/33 (g) | 241,930 | 108,905 | ||
Series 2004-2: | ||||
Class M1, 1.0038% 6/25/34 (g) | 70,849 | 37,390 | ||
Class M2, 1.5538% 6/25/34 (g) | 50,366 | 38,392 | ||
Series 2006-9 Class M4, 0.8438% 11/25/36 (g) | 41,372 | 79 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (g) | 51,216 | 1,864 | ||
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (g) | 24,087 | 7 | ||
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (g) | 89,453 | 3,748 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (b)(g) | 1,695,000 | 1,551,434 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (g) | 67,940 | 43,620 | ||
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (g) | 18,632 | 12,975 | ||
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (g) | 296,490 | 210,204 | ||
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (g) | 193,498 | 89,100 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (g) | 4,962 | 2,873 | ||
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (g) | 60,046 | 33,964 | ||
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (g) | 46,366 | 26,852 | ||
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (g) | 6,539 | 1,134 | ||
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (g) | 117,424 | 56,458 | ||
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (g) | 55,600 | 26,816 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (g) | $ 50,304 | $ 17,157 | ||
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (g) | 45,571 | 15,528 | ||
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (g) | 58,200 | 28,039 | ||
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (g) | 25,872 | 57 | ||
Series 2006-NC4: | ||||
Class M4, 0.8238% 6/25/36 (g) | 38,800 | 404 | ||
Class M6, 0.9238% 6/25/36 (g) | 19,400 | 107 | ||
Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (g) | 12,900 | 10,412 | ||
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (g) | 12,547 | 8,401 | ||
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (g) | 6,817 | 5,425 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (g) | 3,004 | 832 | ||
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (g) | 11,696 | 9,561 | ||
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (g) | 74,098 | 41,729 | ||
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (b)(g) | 63,286 | 36,327 | ||
Series 2002-NC3: | ||||
Class A3, 1.1538% 8/25/32 (g) | 3,928 | 704 | ||
Class M1, 1.5538% 8/25/32 (g) | 7,168 | 3,269 | ||
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (g) | 46,491 | 22,868 | ||
Morgan Stanley Home Equity Loans Trust: | ||||
Series 2006-3 Class M5, 0.8838% 4/25/36 (g) | 38,800 | 481 | ||
Series 2007-2 Class A1, 0.5738% 4/25/37 (g) | 9,202 | 6,989 | ||
National Collegiate Student Loan Trust: | ||||
Series 2006-3 Class A1, 0.5038% 9/25/19 (g) | 143,285 | 134,553 | ||
Series 2006-4 Class A1, 0.5038% 3/25/25 (g) | 116,740 | 104,152 | ||
New Century Home Equity Loan Trust: | ||||
Series 2003-6 Class M1, 1.5538% 1/25/34 (g) | 133,254 | 74,491 | ||
Series 2005-4 Class M2, 0.9838% 9/25/35 (g) | 162,650 | 24,221 | ||
Series 2005-D Class M2, 0.9438% 2/25/36 (g) | 33,892 | 2,291 | ||
Nomura Home Equity Loan Trust: | ||||
Series 2006-AF1 Class A1, 6.032% 10/25/36 | 30,115 | 26,247 | ||
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (g) | 110,774 | 631 | ||
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (g) | 94,859 | 85,856 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.97% 3/20/10 (b)(g) | 64,563 | 22,597 | ||
Series 2006-1A Class A, 1.87% 3/20/11 (b)(g) | 134,073 | 53,629 | ||
Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12 | 793,876 | 717,947 | ||
Option One Mortgage Loan Trust Series 2004-3 Class M3, 1.1238% 11/25/34 (g) | 39,207 | 24,668 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 1.1538% 9/25/34 (g) | $ 31,738 | $ 18,211 | ||
Class M3, 1.7238% 9/25/34 (g) | 60,741 | 13,609 | ||
Class M4, 1.9238% 9/25/34 (g) | 77,891 | 8,240 | ||
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (g) | 45,668 | 7,576 | ||
Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (g) | 132,580 | 96,981 | ||
Series 2004-WWF1: | ||||
Class M2, 1.1538% 2/25/35 (g) | 183,311 | 107,612 | ||
Class M3, 1.2138% 2/25/35 (g) | 22,717 | 9,148 | ||
Series 2005-WCH1: | ||||
Class M2, 0.9938% 1/25/35 (g) | 87,921 | 50,233 | ||
Class M3, 1.0338% 1/25/35 (g) | 54,533 | 21,550 | ||
Class M4, 1.3038% 1/25/35 (g) | 168,217 | 25,938 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.7238% 5/25/35 (g) | 608,374 | 23,797 | ||
Class M9, 2.3538% 5/25/35 (g) | 67,415 | 1,943 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1: | ||||
Class M4, 0.8338% 9/25/36 (g) | 194,388 | 1,205 | ||
Class M5, 0.8638% 9/25/36 (g) | 96,903 | 426 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (b)(g) | 414,093 | 178,060 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (g) | 582 | 105 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (g) | 215,437 | 102,452 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (b)(g) | 122,415 | 91,824 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (g) | 145,034 | 65,265 | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 0.635% 8/15/11 (b)(g) | 197,143 | 167,572 | ||
Class C, 0.835% 8/15/11 (b)(g) | 89,900 | 67,425 | ||
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (g) | 26,709 | 17,358 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (g) | 10,400 | 4,184 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (g) | 15,647 | 6,914 | ||
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (g) | 335 | 0 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Structured Asset Securities Corp.: - continued | ||||
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (b)(g) | $ 149,147 | $ 43,343 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 0.5613% 9/15/11 (g) | 599,460 | 482,565 | ||
Class B, 0.7413% 9/15/11 (g) | 448,315 | 179,326 | ||
Series 2007-AE1: | ||||
Class A, 0.555% 1/15/12 (g) | 111,531 | 78,072 | ||
Class B, 0.755% 1/15/12 (g) | 97,039 | 38,816 | ||
Class C, 1.055% 1/15/12 (g) | 120,590 | 36,177 | ||
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (g) | 327,569 | 235,850 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 0.9038% 9/25/34 (g) | 3,285 | 679 | ||
Series 2003-6HE Class A1, 0.9438% 11/25/33 (g) | 4,157 | 1,396 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-1A Class C, 0.785% 5/16/11 (b)(g) | 322,603 | 306,775 | ||
Series 2006-2: | ||||
Class B, 0.605% 10/17/11 (g) | 390,386 | 341,588 | ||
Class C, 0.805% 10/17/11 (g) | 366,776 | 296,446 | ||
Series 2007-1 Class C, 0.8313% 6/15/12 (g) | 418,225 | 269,132 | ||
Wachovia Auto Loan Owner Trust Series 2006-2A Class E, 7.05% 5/20/14 (b) | 955,000 | 276,950 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (b) | 101,166 | 10 | ||
WaMu Asset-Backed Certificates Series 2006-HE3: | ||||
Class M4, 0.8538% 10/25/36 (g) | 68,715 | 1,244 | ||
Class M7, 1.2738% 10/25/36 (g) | 49,742 | 557 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 0.485% 9/16/13 (b)(g) | 626,213 | 596,416 | ||
Series 2006-C2A Class C2, 0.955% 8/15/15 (b)(g) | 798,019 | 346,723 | ||
Series 2006-C3A Class C3A, 0.835% 10/15/13 (b)(g) | 558,526 | 450,722 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (b) | 420,000 | 375,900 | ||
Series 2007-C1 Class C1, 0.855% 5/15/14 (b)(g) | 486,028 | 285,969 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (b)(j) | 864 | 0 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12 | $ 2,060 | $ 2,053 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (b)(g) | 203,978 | 24,477 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $25,929,328) | 21,026,536 | |||
Collateralized Mortgage Obligations - 4.5% | ||||
| ||||
Private Sponsor - 1.3% | ||||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A Class 3C, 1.6275% 2/17/52 (b)(g) | 76,320 | 57,240 | ||
Series 2006-2A: | ||||
Class 2B, 1.3575% 2/17/52 (b)(g) | 268,574 | 250,674 | ||
Class 2M, 1.4375% 2/17/52 (b)(g) | 182,651 | 164,108 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (b)(g) | 171,422 | 72,767 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2035% 12/25/33 (g) | 7,698 | 6,251 | ||
Series 2004-B Class 1A1, 6.433% 3/25/34 (g) | 8,565 | 6,523 | ||
Series 2004-C Class 1A1, 5.971% 4/25/34 (g) | 15,186 | 11,969 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 0.7538% 1/25/35 (g) | 350,705 | 173,213 | ||
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (g) | 65,017 | 36,076 | ||
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (g) | 82,680 | 41,888 | ||
Chase Mortgage Finance Trust Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (g) | 234,667 | 175,953 | ||
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (g) | 11,746 | 11,180 | ||
Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (g) | 2,078,233 | 1,613,809 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (g) | 6,614 | 3,293 | ||
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (g) | 14,383 | 6,741 | ||
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (g) | 3,162 | 1,323 | ||
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (g) | 52,850 | 25,166 | ||
Series 2005-10: | ||||
Class 5A1, 0.7338% 1/25/36 (g) | 83,855 | 40,057 | ||
Class 5A2, 0.7938% 1/25/36 (g) | 37,733 | 15,128 | ||
Series 2005-2: | ||||
Class 6A2, 0.7538% 6/25/35 (g) | 13,157 | 5,835 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued | ||||
Series 2005-2: | ||||
Class 6M2, 0.9538% 6/25/35 (g) | $ 168,140 | $ 41,072 | ||
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (g) | 62,436 | 31,694 | ||
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (g) | 19,790 | 9,759 | ||
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (g) | 49,268 | 27,858 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (g) | 1,825 | 1,064 | ||
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (g) | 3,702 | 1,912 | ||
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (g) | 18,015 | 9,025 | ||
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (g) | 5,433 | 2,476 | ||
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (g) | 3,399 | 2,025 | ||
Series 2007-AR7 Class 2A1, 4.6052% 11/25/34 (g) | 508,587 | 358,064 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (g) | 391,531 | 203,414 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (g) | 80,961 | 65,885 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (g) | 6,507 | 4,112 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 1.3025% 10/18/54 (b)(g) | 325,823 | 249,971 | ||
Class C2, 1.6125% 10/18/54 (b)(g) | 109,222 | 54,611 | ||
Class M2, 1.3925% 10/18/54 (b)(g) | 187,268 | 121,013 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (b)(g) | 279,515 | 130,684 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (b)(g) | 355,001 | 153,737 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A Class C2, 1.07% 12/20/54 (b)(g) | 685,130 | 47,959 | ||
Series 2006-2 Class C1, 0.94% 12/20/54 (g) | 610,149 | 61,015 | ||
Series 2006-3 Class C2, 0.97% 12/20/54 (g) | 128,118 | 7,892 | ||
Series 2006-4: | ||||
Class B1, 0.56% 12/20/54 (g) | 342,740 | 68,548 | ||
Class C1, 0.85% 12/20/54 (g) | 209,578 | 14,670 | ||
Class M1, 0.64% 12/20/54 (g) | 90,229 | 13,534 | ||
Series 2007-1: | ||||
Class 1C1, 0.77% 12/20/54 (g) | 211,732 | 21,173 | ||
Class 1M1, 0.62% 12/20/54 (g) | 137,740 | 20,661 | ||
Class 2C1, 0.9% 12/20/54 (g) | 96,631 | 9,663 | ||
Class 2M1, 0.72% 12/20/54 (g) | 176,850 | 28,296 | ||
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (g) | 245,041 | 24,504 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (g) | $ 49,066 | $ 12,267 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (g) | 48,540 | 21,756 | ||
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (b)(g) | 69,433 | 48,603 | ||
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (g) | 222,932 | 127,003 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (g) | 17,834 | 10,126 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (g) | 29,898 | 17,679 | ||
Series 2005-1: | ||||
Class M4, 1.2238% 4/25/35 (g) | 3,537 | 589 | ||
Class M5, 1.2438% 4/25/35 (g) | 3,537 | 433 | ||
Class M6, 1.2938% 4/25/35 (g) | 5,657 | 811 | ||
Series 2005-3 Class A1, 0.7138% 8/25/35 (g) | 70,798 | 35,941 | ||
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (g) | 22,103 | 757 | ||
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (g) | 19,165 | 1,515 | ||
JPMorgan Mortgage Trust: | ||||
Series 2004-A5 Class 2A1, 4.6116% 12/25/34 (g) | 290,810 | 236,669 | ||
Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (g) | 454,406 | 389,939 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (b)(g) | 56,565 | 28,895 | ||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (g) | 8,473 | 5,249 | ||
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (g) | 162,591 | 78,558 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (g) | 204,653 | 85,954 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.625% 6/15/22 (b)(g) | 23,707 | 13,039 | ||
Class C, 0.645% 6/15/22 (b)(g) | 145,170 | 72,585 | ||
Class D, 0.655% 6/15/22 (b)(g) | 55,853 | 25,134 | ||
Class E, 0.665% 6/15/22 (b)(g) | 89,337 | 35,735 | ||
Class F, 0.695% 6/15/22 (b)(g) | 161,078 | 56,377 | ||
Class G, 0.765% 6/15/22 (b)(g) | 33,484 | 10,045 | ||
Class H, 0.785% 6/15/22 (b)(g) | 67,046 | 16,762 | ||
Class J, 0.825% 6/15/22 (b)(g) | 78,221 | 15,644 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A Class 2A1, 0.8638% 3/25/28 (g) | 25,346 | 14,743 | ||
Series 2003-B Class A1, 0.8138% 4/25/28 (g) | 26,971 | 15,736 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust floater: - continued | ||||
Series 2003-D Class A, 0.7838% 8/25/28 (g) | $ 22,880 | $ 14,672 | ||
Series 2003-E Class A2, 2.0813% 10/25/28 (g) | 38,158 | 22,769 | ||
Series 2003-F Class A2, 3.805% 10/25/28 (g) | 30,649 | 18,361 | ||
Series 2004-A Class A2, 3.715% 4/25/29 (g) | 35,239 | 21,812 | ||
Series 2004-B Class A2, 2.8388% 6/25/29 (g) | 26,892 | 15,907 | ||
Series 2004-C Class A2, 2.15% 7/25/29 (g) | 31,094 | 18,456 | ||
Series 2004-D Class A2, 3.4625% 9/25/29 (g) | 26,434 | 15,649 | ||
Series 2004-E: | ||||
Class A2B, 3.825% 11/25/29 (g) | 62,574 | 39,963 | ||
Class A2D, 4.015% 11/25/29 (g) | 9,075 | 5,317 | ||
Series 2004-G Class A2, 3.48% 11/25/29 (g) | 30,251 | 18,248 | ||
Series 2005-A Class A2, 3.3525% 2/25/30 (g) | 29,241 | 17,595 | ||
Series 2005-B Class A2, 2.7988% 7/25/30 (g) | 89,346 | 55,688 | ||
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (g) | 185,755 | 873 | ||
MortgageIT Trust floater: | ||||
Series 2004-2: | ||||
Class A1, 0.8438% 12/25/34 (g) | 32,209 | 20,984 | ||
Class A2, 0.9238% 12/25/34 (g) | 43,570 | 30,284 | ||
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (g) | 36,754 | 24,296 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (g) | 371,225 | 181,633 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (g) | 278,584 | 13,121 | ||
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (g) | 233,925 | 158,427 | ||
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (g) | 59,519 | 44,044 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (g) | 951,349 | 758,474 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B: | ||||
Class B5, 2.7988% 7/10/35 (b)(g) | 155,475 | 75,638 | ||
Class B6, 3.2988% 7/10/35 (b)(g) | 635,983 | 281,677 | ||
Series 2003-CB1: | ||||
Class B3, 1.8988% 6/10/35 (b)(g) | 119,880 | 64,136 | ||
Class B4, 2.0988% 6/10/35 (b)(g) | 483,166 | 248,975 | ||
Class B5, 2.6988% 6/10/35 (b)(g) | 328,553 | 163,619 | ||
Class B6, 3.1988% 6/10/35 (b)(g) | 196,487 | 96,377 | ||
Series 2004-A: | ||||
Class B4, 1.6488% 2/10/36 (b)(g) | 91,382 | 31,655 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
RESI Finance LP/RESI Finance DE Corp. floater: - continued | ||||
Series 2004-A: | ||||
Class B5, 2.1488% 2/10/36 (b)(g) | $ 60,916 | $ 19,536 | ||
Series 2004-B: | ||||
Class B4, 1.5488% 2/10/36 (b)(g) | 39,635 | 10,919 | ||
Class B5, 1.9988% 2/10/36 (b)(g) | 30,695 | 7,615 | ||
Class B6, 2.4488% 2/10/36 (b)(g) | 10,707 | 2,203 | ||
Series 2004-C: | ||||
Class B4, 1.3988% 9/10/36 (b)(g) | 50,956 | 14,945 | ||
Class B5, 1.7988% 9/10/36 (b)(g) | 57,137 | 15,330 | ||
Class B6, 2.1988% 9/10/36 (b)(g) | 12,653 | 2,772 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (g) | 196,935 | 151,821 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 27,907 | 24,653 | ||
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (g) | 28,508 | 20,909 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (b)(g) | 31,260 | 23,450 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (b)(g) | 7,077 | 6,897 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 3.7963% 9/20/33 (g) | 51,215 | 31,216 | ||
Series 2004-1 Class A, 1.8888% 2/20/34 (g) | 18,289 | 11,712 | ||
Series 2004-10 Class A4, 4.5188% 11/20/34 (g) | 26,478 | 16,379 | ||
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (g) | 79,859 | 49,089 | ||
Series 2004-3 Class A, 3.885% 5/20/34 (g) | 25,069 | 15,313 | ||
Series 2004-4 Class A, 4.4388% 5/20/34 (g) | 95,801 | 59,616 | ||
Series 2004-5 Class A3, 2.9113% 6/20/34 (g) | 37,550 | 22,964 | ||
Series 2004-6: | ||||
Class A3A, 2.1613% 6/20/35 (g) | 28,822 | 18,485 | ||
Class A3B, 2.3038% 7/20/34 (g) | 5,506 | 3,384 | ||
Series 2004-7: | ||||
Class A3A, 1.9138% 8/20/34 (g) | 29,062 | 17,409 | ||
Class A3B, 2.1388% 7/20/34 (g) | 3,581 | 2,100 | ||
Series 2004-8 Class A2, 2.15% 9/20/34 (g) | 72,176 | 46,750 | ||
Series 2005-1 Class A2, 1.8388% 2/20/35 (g) | 48,390 | 29,974 | ||
Series 2005-2 Class A2, 2.03% 3/20/35 (g) | 60,453 | 36,348 | ||
Series 2005-3 Class A1, 0.67% 5/20/35 (g) | 29,362 | 15,773 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (g) | 59,946 | 785 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (b)(g) | $ 10,747 | $ 4,555 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (g) | 373,140 | 190,235 | ||
WaMu Mortgage pass-thru certificates floater: | ||||
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (g) | 17,279 | 16,537 | ||
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (g) | 7,003 | 6,769 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-H Class A1, 4.5322% 6/25/34 (g) | 389,581 | 317,010 | ||
Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (g) | 235,583 | 183,756 | ||
Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (g) | 168,543 | 128,768 | ||
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (g) | 454,794 | 350,048 | ||
TOTAL PRIVATE SPONSOR | 10,218,704 | |||
U.S. Government Agency - 3.2% | ||||
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 0.7238% 10/25/35 (g) | 3,903,918 | 3,773,281 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 1,092,980 | 1,137,914 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 166,238 | 174,352 | ||
Series 2003-84 Class GC, 4.5% 5/25/15 | 1,234,237 | 1,254,091 | ||
Series 2005-67 Class HD, 5.5% 12/25/30 | 2,835,000 | 2,937,087 | ||
Series 2006-4 Class PB, 6% 9/25/35 | 2,298,138 | 2,391,961 | ||
sequential payer: | ||||
Series 2002-56 Class MC, 5.5% 9/25/17 | 590,806 | 613,369 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 99,484 | 101,088 | ||
Series 2004-45 Class AV, 4.5% 10/25/22 | 183,552 | 183,142 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 457,152 | 468,151 | ||
Freddie Mac planned amortization class Series 2104 Class PG, 6% 12/15/28 | 1,062,388 | 1,102,038 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2356 Class GD, 6% 9/15/16 | 608,486 | 639,210 | ||
Series 2363 Class PF, 6% 9/15/16 | 853,363 | 891,227 | ||
Series 2702 Class WB, 5% 4/15/17 | 1,831,189 | 1,888,813 | ||
Series 3033 Class UD, 5.5% 10/15/30 | 1,075,000 | 1,116,717 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 2,495,000 | 2,579,650 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2528 Class HN, 5% 11/15/17 | $ 1,515,000 | $ 1,581,944 | ||
Series 2777 Class AB, 4.5% 6/15/29 | 2,272,169 | 2,325,608 | ||
Series 2809 Class UA, 4% 12/15/14 | 269,385 | 271,215 | ||
TOTAL U.S. GOVERNMENT AGENCY | 25,430,858 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $36,636,245) | 35,649,562 | |||
Commercial Mortgage Securities - 1.9% | ||||
| ||||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 0.9313% 3/15/22 (b)(g) | 70,189 | 31,585 | ||
Class G, 0.9913% 3/15/22 (b)(g) | 45,493 | 17,287 | ||
Series 2006-BIX1: | ||||
Class F, 0.765% 10/15/19 (b)(g) | 180,653 | 81,294 | ||
Class G, 0.785% 10/15/19 (b)(g) | 123,054 | 43,069 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2003-2 Class M1, 1.3238% 12/25/33 (b)(g) | 12,015 | 6,909 | ||
Series 2004-1: | ||||
Class A, 0.8338% 4/25/34 (b)(g) | 156,815 | 117,611 | ||
Class B, 2.3738% 4/25/34 (b)(g) | 17,424 | 6,534 | ||
Class M1, 1.0338% 4/25/34 (b)(g) | 14,123 | 8,827 | ||
Class M2, 1.6738% 4/25/34 (b)(g) | 12,717 | 6,676 | ||
Series 2004-2: | ||||
Class A, 0.9038% 8/25/34 (b)(g) | 118,633 | 94,907 | ||
Class M1, 1.0538% 8/25/34 (b)(g) | 26,925 | 16,828 | ||
Series 2004-3: | ||||
Class A1, 0.8438% 1/25/35 (b)(g) | 238,768 | 173,107 | ||
Class A2, 0.8938% 1/25/35 (b)(g) | 34,378 | 24,065 | ||
Class M1, 0.9738% 1/25/35 (b)(g) | 41,312 | 26,853 | ||
Class M2, 1.4738% 1/25/35 (b)(g) | 26,733 | 14,703 | ||
Series 2005-2A: | ||||
Class A1, 0.7838% 8/25/35 (b)(g) | 174,825 | 122,377 | ||
Class M1, 0.9038% 8/25/35 (b)(g) | 12,972 | 5,189 | ||
Class M2, 0.9538% 8/25/35 (b)(g) | 21,394 | 8,558 | ||
Class M3, 0.9738% 8/25/35 (b)(g) | 11,837 | 4,143 | ||
Class M4, 1.0838% 8/25/35 (b)(g) | 10,866 | 3,260 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2005-3A: | ||||
Class A1, 0.7938% 11/25/35 (b)(g) | $ 95,290 | $ 61,938 | ||
Class A2, 0.8738% 11/25/35 (b)(g) | 61,777 | 40,155 | ||
Class M1, 0.9138% 11/25/35 (b)(g) | 11,270 | 4,283 | ||
Class M2, 0.9638% 11/25/35 (b)(g) | 14,309 | 5,437 | ||
Class M3, 0.9838% 11/25/35 (b)(g) | 12,806 | 4,482 | ||
Class M4, 1.0738% 11/25/35 (b)(g) | 15,956 | 5,584 | ||
Series 2005-4A: | ||||
Class A2, 0.8638% 1/25/36 (b)(g) | 224,027 | 128,815 | ||
Class B1, 1.8738% 1/25/36 (b)(g) | 19,360 | 6,776 | ||
Class M1, 0.9238% 1/25/36 (b)(g) | 72,267 | 41,553 | ||
Class M2, 0.9438% 1/25/36 (b)(g) | 21,680 | 11,924 | ||
Class M3, 0.9738% 1/25/36 (b)(g) | 31,662 | 15,831 | ||
Class M4, 1.0838% 1/25/36 (b)(g) | 17,511 | 8,318 | ||
Class M5, 1.1238% 1/25/36 (b)(g) | 17,511 | 7,880 | ||
Class M6, 1.1738% 1/25/36 (b)(g) | 18,599 | 7,811 | ||
Series 2006-1: | ||||
Class A2, 0.8338% 4/25/36 (b)(g) | 34,852 | 22,932 | ||
Class M1, 0.8538% 4/25/36 (b)(g) | 12,465 | 6,233 | ||
Class M2, 0.8738% 4/25/36 (b)(g) | 13,170 | 5,926 | ||
Class M3, 0.8938% 4/25/36 (b)(g) | 11,332 | 4,759 | ||
Class M4, 0.9938% 4/25/36 (b)(g) | 6,421 | 3,484 | ||
Class M5, 1.0338% 4/25/36 (b)(g) | 6,233 | 2,368 | ||
Class M6, 1.1138% 4/25/36 (b)(g) | 12,427 | 6,437 | ||
Series 2006-2A: | ||||
Class A1, 0.7038% 7/25/36 (b)(g) | 342,015 | 273,612 | ||
Class A2, 0.7538% 7/25/36 (b)(g) | 30,877 | 24,702 | ||
Class B1, 1.3438% 7/25/36 (b)(g) | 11,561 | 2,312 | ||
Class B3, 3.1738% 7/25/36 (b)(g) | 17,467 | 3,493 | ||
Class M1, 0.7838% 7/25/36 (b)(g) | 32,397 | 16,198 | ||
Class M2, 0.8038% 7/25/36 (b)(g) | 22,857 | 10,972 | ||
Class M3, 0.8238% 7/25/36 (b)(g) | 18,960 | 8,532 | ||
Class M4, 0.8938% 7/25/36 (b)(g) | 12,803 | 5,121 | ||
Class M5, 0.9438% 7/25/36 (b)(g) | 15,736 | 5,507 | ||
Class M6, 1.0138% 7/25/36 (b)(g) | 23,478 | 8,217 | ||
Series 2006-3A: | ||||
Class B1, 1.2738% 10/25/36 (b)(g) | 20,023 | 6,187 | ||
Class B2, 1.8238% 10/25/36 (b)(g) | 14,442 | 4,245 | ||
Class B3, 3.0738% 10/25/36 (b)(g) | 23,502 | 5,218 | ||
Class M4, 0.9038% 10/25/36 (b)(g) | 22,129 | 9,637 | ||
Class M5, 0.9538% 10/25/36 (b)(g) | 26,492 | 10,597 | ||
Class M6, 1.0338% 10/25/36 (b)(g) | 51,857 | 19,446 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2006-4A: | ||||
Class A1, 0.7038% 12/25/36 (b)(g) | $ 95,467 | $ 64,936 | ||
Class A2, 0.7438% 12/25/36 (b)(g) | 430,258 | 298,513 | ||
Class B1, 1.1738% 12/25/36 (b)(g) | 15,019 | 3,004 | ||
Class B2, 1.7238% 12/25/36 (b)(g) | 15,542 | 7,159 | ||
Class B3, 2.9238% 12/25/36 (b)(g) | 26,116 | 11,494 | ||
Class M1, 0.7638% 12/25/36 (b)(g) | 31,085 | 19,957 | ||
Class M2, 0.7838% 12/25/36 (b)(g) | 20,908 | 13,172 | ||
Class M3, 0.8138% 12/25/36 (b)(g) | 21,177 | 8,894 | ||
Class M4, 0.8738% 12/25/36 (b)(g) | 25,376 | 10,150 | ||
Class M5, 0.9138% 12/25/36 (b)(g) | 23,269 | 9,308 | ||
Class M6, 0.9938% 12/25/36 (b)(g) | 20,908 | 11,621 | ||
Series 2007-1: | ||||
Class A2, 0.7438% 3/25/37 (b)(g) | 80,916 | 46,527 | ||
Class B1, 1.1438% 3/25/37 (b)(g) | 26,424 | 9,248 | ||
Class B2, 1.6238% 3/25/37 (b)(g) | 19,111 | 6,068 | ||
Class B3, 3.8238% 3/25/37 (b)(g) | 51,527 | 15,072 | ||
Class M1, 0.7438% 3/25/37 (b)(g) | 23,054 | 12,507 | ||
Class M2, 0.7638% 3/25/37 (b)(g) | 17,295 | 8,950 | ||
Class M3, 0.7938% 3/25/37 (b)(g) | 15,401 | 7,700 | ||
Class M4, 0.8438% 3/25/37 (b)(g) | 12,808 | 6,148 | ||
Class M5, 0.8938% 3/25/37 (b)(g) | 19,266 | 8,670 | ||
Class M6, 0.9738% 3/25/37 (b)(g) | 26,920 | 10,768 | ||
Series 2007-2A: | ||||
Class A1, 0.7438% 7/25/37 (b)(g) | 71,708 | 43,383 | ||
Class A2, 0.7938% 7/25/37 (b)(g) | 67,161 | 41,472 | ||
Class B1, 2.0738% 7/25/37 (b)(g) | 21,044 | 6,681 | ||
Class B2, 2.7238% 7/25/37 (b)(g) | 18,237 | 5,654 | ||
Class B3, 3.8238% 7/25/37 (b)(g) | 20,510 | 6,153 | ||
Class M1, 0.8438% 7/25/37 (b)(g) | 23,937 | 12,986 | ||
Class M2, 0.8838% 7/25/37 (b)(g) | 13,432 | 6,951 | ||
Class M3, 0.9638% 7/25/37 (b)(g) | 13,604 | 6,700 | ||
Class M4, 1.1238% 7/25/37 (b)(g) | 26,192 | 10,935 | ||
Class M5, 1.2238% 7/25/37 (b)(g) | 23,162 | 9,091 | ||
Class M6, 1.4738% 7/25/37 (b)(g) | 29,396 | 10,803 | ||
Series 2007-3: | ||||
Class A2, 0.7638% 7/25/37 (b)(g) | 118,990 | 88,386 | ||
Class B1, 1.4238% 7/25/37 (b)(g) | 19,257 | 9,168 | ||
Class B2, 2.0738% 7/25/37 (b)(g) | 47,506 | 22,622 | ||
Class B3, 4.4738% 7/25/37 (b)(g) | 25,823 | 11,848 | ||
Class M1, 0.7838% 7/25/37 (b)(g) | 17,138 | 9,948 | ||
Class M2, 0.8138% 7/25/37 (b)(g) | 18,290 | 10,264 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2007-3: | ||||
Class M3, 0.8438% 7/25/37 (b)(g) | $ 28,258 | $ 14,912 | ||
Class M4, 0.9738% 7/25/37 (b)(g) | 44,438 | 23,255 | ||
Class M5, 1.0738% 7/25/37 (b)(g) | 23,588 | 12,113 | ||
Class M6, 1.2738% 7/25/37 (b)(g) | 17,961 | 9,117 | ||
Series 2007-4A: | ||||
Class B1, 3.0238% 9/25/37 (b)(g) | 26,271 | 8,341 | ||
Class B2, 3.9238% 9/25/37 (b)(g) | 93,359 | 27,308 | ||
Class M1, 1.4238% 9/25/37 (b)(g) | 25,142 | 12,571 | ||
Class M2, 1.5238% 9/25/37 (b)(g) | 25,142 | 11,314 | ||
Class M4, 2.0738% 9/25/37 (b)(g) | 62,804 | 25,122 | ||
Class M5, 2.2238% 9/25/37 (b)(g) | 62,804 | 23,551 | ||
Class M6, 2.4238% 9/25/37 (b)(g) | 62,892 | 22,012 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.9013% 3/15/19 (b)(g) | 91,801 | 52,391 | ||
Class H, 1.1113% 3/15/19 (b)(g) | 61,770 | 27,797 | ||
Class J, 1.3113% 3/15/19 (b)(g) | 46,405 | 18,562 | ||
Series 2007-BBA8: | ||||
Class D, 0.705% 3/15/22 (b)(g) | 47,569 | 29,546 | ||
Class E, 0.755% 3/15/22 (b)(g) | 247,020 | 144,850 | ||
Class F, 0.805% 3/15/22 (b)(g) | 151,475 | 84,852 | ||
Class G, 0.855% 3/15/22 (b)(g) | 38,931 | 21,158 | ||
Class H, 1.005% 3/15/22 (b)(g) | 47,569 | 21,406 | ||
Class J, 1.155% 3/15/22 (b)(g) | 47,569 | 19,028 | ||
Series 2003-T12 Class X2, 0.5161% 8/13/39 (b)(g)(i) | 11,515,427 | 123,596 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (b)(g) | 124,779 | 54,181 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class G, 0.785% 11/15/36 (b)(g) | 50,634 | 15,697 | ||
Class H, 0.825% 11/15/36 (b)(g) | 40,527 | 12,158 | ||
Series 2007-C6 Class A1, 5.622% 12/10/49 (g) | 2,144,141 | 1,834,238 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A3, 5.607% 10/15/48 | 3,000,000 | 2,136,455 | ||
COMM pass-thru certificates floater: | ||||
Series 2005-F10A: | ||||
Class D, 0.765% 4/15/17 (b)(g) | 108,291 | 51,232 | ||
Class E, 0.825% 4/15/17 (b)(g) | 34,474 | 16,137 | ||
Class F, 0.865% 4/15/17 (b)(g) | 19,555 | 8,663 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
COMM pass-thru certificates floater: - continued | ||||
Series 2005-F10A: | ||||
Class G, 1.005% 4/15/17 (b)(g) | $ 19,555 | $ 8,471 | ||
Class H, 1.075% 4/15/17 (b)(g) | 19,555 | 7,985 | ||
Class J, 1.305% 4/15/17 (b)(g) | 14,996 | 6,770 | ||
Series 2005-FL11: | ||||
Class F, 0.9113% 11/15/17 (b)(g) | 44,319 | 14,808 | ||
Class G, 0.9613% 11/15/17 (b)(g) | 30,720 | 9,576 | ||
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.269% 1/15/49 | 450,653 | 439,267 | ||
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1: | ||||
Class C: | ||||
0.6313% 2/15/22 (b)(g) | 212,546 | 63,764 | ||
0.7313% 2/15/22 (b)(g) | 75,912 | 18,978 | ||
Class F, 0.7813% 2/15/22 (b)(g) | 151,805 | 33,397 | ||
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2002-35 Class C, 5.8718% 10/16/23 (g) | 31,989 | 32,326 | ||
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer: | ||||
Series 2003-47 Class C, 4.227% 10/16/27 | 1,694,176 | 1,702,217 | ||
Series 2003-59 Class D, 3.654% 10/16/27 | 3,060,000 | 3,035,906 | ||
GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (g)(i) | 9,708,464 | 115,344 | ||
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.9139% 7/10/38 (g) | 960,000 | 668,510 | ||
GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 0.885% 6/6/20 (b)(g) | 95,176 | 54,250 | ||
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2: | ||||
Class D, 0.6913% 11/15/18 (b)(g) | 26,312 | 12,367 | ||
Class E, 0.7413% 11/15/18 (b)(g) | 37,286 | 16,779 | ||
Class F, 0.7913% 11/15/18 (b)(g) | 55,923 | 24,606 | ||
Class G, 0.8213% 11/15/18 (b)(g) | 48,602 | 20,413 | ||
Class H, 0.9613% 11/15/18 (b)(g) | 37,286 | 14,915 | ||
LB-UBS Commercial Mortgage Trust sequential payer: | ||||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 296,104 | 288,861 | ||
Series 2007-C2 Class A1, 5.226% 2/15/40 | 377,464 | 368,300 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 0.795% 9/15/21 (b)(g) | 130,294 | 53,559 | ||
Class G, 0.815% 9/15/21 (b)(g) | 257,399 | 94,178 | ||
Class H, 0.855% 9/15/21 (b)(g) | 66,405 | 22,966 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.662% 7/15/19 (b)(g) | $ 93,780 | $ 9,378 | ||
Series 2007-XCLA Class A1, 0.662% 7/17/17 (b)(g) | 312,375 | 171,806 | ||
Series 2007-XLCA Class B, 0.9613% 7/17/17 (b)(g) | 177,809 | 16,003 | ||
Series 2007-XLFA: | ||||
Class D, 0.652% 10/15/20 (b)(g) | 76,067 | 19,017 | ||
Class E, 0.712% 10/15/20 (b)(g) | 95,138 | 19,028 | ||
Class F, 0.762% 10/15/20 (b)(g) | 57,094 | 10,277 | ||
Class G, 0.802% 10/15/20 (b)(g) | 70,577 | 10,587 | ||
Class H, 0.892% 10/15/20 (b)(g) | 44,426 | 4,443 | ||
Class J, 1.042% 10/15/20 (b)(g) | 50,712 | 4,057 | ||
Class MHRO, 1.152% 10/15/20 (b)(g) | 20,614 | 2,268 | ||
Class MJPM, 1.462% 10/15/20 (b)(g) | 6,975 | 628 | ||
Class MSTR, 1.162% 10/15/20 (b)(g) | 12,707 | 1,779 | ||
Class NHRO, 1.352% 10/15/20 (b)(g) | 30,105 | 2,709 | ||
Class NSTR, 1.312% 10/15/20 (b)(g) | 11,834 | 1,302 | ||
Series 2007-XLC1: | ||||
Class C, 1.0613% 7/17/17 (b)(g) | 242,693 | 19,415 | ||
Class D, 1.1613% 7/17/17 (b)(g) | 114,195 | 7,994 | ||
Class E, 1.2613% 7/17/17 (b)(g) | 92,798 | 5,568 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (b)(g) | 20,027 | 16,422 | ||
Wachovia Bank Commercial Mortgage Trust floater: | ||||
Series 2005-WL5A Class K, 1.655% 1/15/18 (b)(g) | 145,481 | 80,015 | ||
Series 2006-WL7A: | ||||
Class E, 0.735% 9/15/21 (b)(g) | 158,847 | 65,127 | ||
Class F, 0.795% 8/11/18 (b)(g) | 214,060 | 64,218 | ||
Class G, 0.815% 8/11/18 (b)(g) | 202,788 | 50,697 | ||
Class J, 0.9331% 8/11/18 (b)(g) | 45,086 | 16,231 | ||
Class X1A, 0.0239% 9/15/21 (b)(g)(i) | 322,727 | 2 | ||
Series 2007-WHL8: | ||||
Class AP1, 1.155% 6/15/20 (b)(g) | 10,647 | 2,662 | ||
Class AP2, 1.255% 6/15/20 (b)(g) | 17,436 | 3,487 | ||
Class F, 0.935% 6/15/20 (b)(g) | 338,588 | 108,348 | ||
Class LXR2, 1.255% 6/15/20 (b)(g) | 230,831 | 34,625 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $16,993,359) | 15,271,784 | |||
Foreign Government and Government Agency Obligations - 0.1% | ||||
| Principal Amount | Value | ||
Chilean Republic 7.125% 1/11/12 | $ 613,000 | $ 668,967 | ||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento: | ||||
5.2% 5/21/13 | 49,000 | 43,103 | ||
6.875% 3/15/12 | 79,000 | 75,658 | ||
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $119,410) | 118,761 | |||
Bank Notes - 0.1% | ||||
| ||||
National City Bank, Cleveland 2.3025% 3/1/13 (g) | 1,000,000 | 780,000 |
Fixed-Income Funds - 25.4% | |||
Shares |
| ||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (h) | 361,343 | 25,630,041 | |
Fidelity Commercial Mortgage-Backed Securities Central Fund (h) | 987,552 | 67,153,521 | |
Fidelity Corporate Bond 1-10 Year Central Fund (h) | 859,752 | 76,285,794 | |
Fidelity Corporate Bond 1-5 Year Central Fund (h) | 111,069 | 10,217,217 | |
Fidelity Specialized High Income Central Fund (h) | 264,717 | 20,573,791 | |
TOTAL FIXED-INCOME FUNDS (Cost $258,465,605) | 199,860,364 | ||
Preferred Securities - 0.1% | |||
Principal Amount |
| ||
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
ING Groep NV 5.775% (g) | $ 212,000 | 66,908 | |
MUFG Capital Finance 1 Ltd. 6.346% (g) | 932,000 | 583,379 | |
TOTAL PREFERRED SECURITIES (Cost $690,964) | 650,287 | ||
Cash Equivalents - 5.1% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # | $ 40,231,868 | $ 40,231,000 | |
TOTAL INVESTMENT PORTFOLIO - 103.2% (Cost $890,405,843) | 812,293,609 | ||
NET OTHER ASSETS - (3.2)% | (24,852,302) | ||
NET ASSETS - 100% | $ 787,441,307 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by .52% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M6, 6.835% 9/25/34 (Rating-Caa2) (e) | Oct. 2034 | $ 918,926 | (638,237) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 (Rating-Ba2) (e) | Nov. 2034 | 409,000 | (378,805) | ||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-B1) (e) | Oct. 2034 | 119,687 | (64,278) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 (Rating-Baa3) (e) | May 2033 | 409,000 | (343,651) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36 (Rating-C) (e) | Oct. 2036 | $ 335,099 | $ (323,462) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 (Rating-C) (e) | Dec. 2034 | 248,360 | (234,477) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (e) | Sept. 2034 | 119,548 | (109,815) | ||
Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 4 Index, par value of the proportional notional amount (Rating-Baa3) (f) | June 2010 | 9,760,000 | (619,575) | ||
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 3 Index, par value of the proportional notional amount (Rating-Baa3) (f) | March 2010 | 6,219,400 | (287,972) | ||
Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35 (Rating-Baa3) (e) | Feb. 2035 | 600,000 | (565,808) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Baa2) (e) | August 2034 | $ 98,734 | $ (58,054) | ||
Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35 (Rating-Caa2) (e) | June 2035 | 600,000 | (568,952) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-A3) (e) | Oct. 2034 | 122,388 | (72,516) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Baa3) (e) | April 2032 | 36,015 | (29,267) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 (Rating-Baa3) (e) | March 2034 | 21,052 | (1,404) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-Ba2) (e) | Feb. 2034 | 806 | (762) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 (Rating-Ca) (e) | August 2035 | $ 700,000 | $ (657,317) | ||
Receive quarterly a fixed rate of .45% multiplied by the notional amount and pay to Goldman Sachs, upon each credit event of one of the issues of Dow Jones CDX N.A. Investment Grade 5 Index, par value of the proportional notional amount (Rating-Baa3) (f) | Dec. 2010 | 14,640,000 | (1,013,091) | ||
TOTAL CREDIT DEFAULT SWAPS | 35,358,015 | (5,967,443) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 3.475% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Jan. 2013 | 25,000,000 | 1,072,963 | ||
Receive semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2011 | 19,783,000 | 962,089 | ||
Receive semi-annually a fixed rate equal to 4.449% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2018 | 6,931,000 | 727,141 | ||
Receive semi-annually a fixed rate equal to 4.94% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | March 2012 | 25,000,000 | 2,537,753 | ||
Receive semi-annually a fixed rate equal to 5.02% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Nov. 2011 | 20,000,000 | 1,895,576 | ||
TOTAL INTEREST RATE SWAPS | 96,714,000 | 7,195,522 | |||
| $ 132,072,015 | $ 1,228,079 |
Legend |
(a) Non-income producing - Issuer is in default. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $53,780,352 or 6.8% of net assets. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,852,144. |
(e) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(f) Represents a tradable index of credit default swaps on investment grade debt of U.S. companies. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request. |
(i) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(j) Non-income producing |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$40,231,000 due 3/02/09 at 0.26% | |
Goldman, Sachs & Co. | $ 15,774,577 |
UBS Securities LLC | 24,456,423 |
| $ 40,231,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 692,998 |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 2,531,281 |
Fidelity Corporate Bond 1-10 Year Central Fund | 7,257,245 |
Fidelity Corporate Bond 1-5 Year Central Fund | 371,176 |
Fidelity Specialized High Income Central Fund | 870,843 |
Fidelity Ultra-Short Central Fund | 486,340 |
Total | $ 12,209,883 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, | % ownership, end of |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 47,438,002 | $ 692,998 | $ 17,316,138 | $ 25,630,041 | 3.2% |
Fidelity Commercial Mortgage-Backed Securities Central Fund | 99,633,125 | 2,531,287 | 12,995,240 | 67,153,521 | 2.9% |
Fidelity Corporate Bond 1-10 Year Central Fund | 275,919,248 | 7,286,616 | 187,226,317* | 76,285,794 | 3.1% |
Fidelity Corporate Bond 1-5 Year Central Fund | 18,814,985 | 371,176 | 7,835,596 | 10,217,217 | 2.9% |
Fidelity Specialized High Income Central Fund | 23,421,149 | 870,843 | - | 20,573,791 | 5.3% |
Fidelity Ultra-Short Central Fund | 68,380,155 | - | 57,552,245 * | - | 0.0% |
Total | $ 533,606,664 | $ 11,752,920 | $ 282,925,536 | $ 199,860,364 |
* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Investments (Unaudited) - continued
Other Information |
The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 812,293,609 | $ 199,860,364 | $ 608,617,667 | $ 3,815,578 |
Other Financial Instruments* | $ 1,228,079 | $ - | $ 4,307,371 | $ (3,079,292) |
* Other financial instruments include Swap Agreements. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
| Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 215,029 | $ (6,691,180) |
Total Realized Gain (Loss) | 27,456 | -* |
Total Unrealized Gain (Loss) | 987,424 | 3,696,575 |
Cost of Purchases | 4,347,492 | - |
Proceeds of Sales | (87,523) | - |
Amortization/Accretion | (1,674,300) | - |
Transfer in/out of Level 3 | - | (84,687) |
Ending Balance | $ 3,815,578 | $ (3,079,292) |
* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(313,172). |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Income Tax Information |
At August 31, 2008, the fund had a capital loss carryforward of approximately $16,598,133 of which $8,055,126 and $8,543,007 will expire on August 31, 2014 and 2016, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| February 28, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $40,231,000) - See accompanying schedule: Unaffiliated issuers (cost $631,940,238) | $ 612,433,244 |
|
Fidelity Central Funds (cost $258,465,605) | 199,860,365 |
|
Total Investments (cost $890,405,843) |
| $ 812,293,609 |
Cash | 19,883 | |
Receivable for investments sold | 7,500,984 | |
Receivable for swap agreements | 20,391 | |
Receivable for fund shares sold | 1,096,558 | |
Interest receivable | 5,398,324 | |
Distributions receivable from Fidelity Central Funds | 1,614,214 | |
Unrealized appreciation on swap agreements | 7,195,522 | |
Prepaid expenses | 7,278 | |
Other receivables | 386,084 | |
Total assets | 835,532,847 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 2,585,073 | |
Delayed delivery | 29,721,438 | |
Payable for swap agreements | 397,241 | |
Payable for fund shares redeemed | 8,299,497 | |
Distributions payable | 174,470 | |
Unrealized depreciation on swap agreements | 5,967,443 | |
Accrued management fee | 215,240 | |
Distribution fees payable | 148,488 | |
Other affiliated payables | 154,491 | |
Other payables and accrued expenses | 428,159 | |
Total liabilities | 48,091,540 | |
|
|
|
Net Assets | $ 787,441,307 | |
Net Assets consist of: |
| |
Paid in capital | $ 942,136,133 | |
Distributions in excess of net investment income | (3,853,986) | |
Accumulated undistributed net realized gain (loss) on investments | (70,222,892) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (80,617,948) | |
Net Assets | $ 787,441,307 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
| February 28, 2009 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price | $ 9.46 | |
|
|
|
Maximum offering price per share (100/97.25 of $9.46) | $ 9.73 | |
Class T: | $ 9.47 | |
|
|
|
Maximum offering price per share (100/97.25 of $9.47) | $ 9.74 | |
Class B: | $ 9.45 | |
|
|
|
Class C: | $ 9.44 | |
|
|
|
Institutional Class: | $ 9.48 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended February 28, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Interest |
| $ 5,046,900 |
Income from Fidelity Central Funds |
| 12,209,883 |
Total income |
| 17,256,783 |
|
|
|
Expenses | ||
Management fee | $ 1,347,083 | |
Transfer agent fees | 808,544 | |
Distribution fees | 909,970 | |
Accounting and security lending fees | 155,669 | |
Custodian fees and expenses | 11,932 | |
Independent trustees' compensation | 1,570 | |
Registration fees | 51,550 | |
Audit | 46,664 | |
Legal | 1,839 | |
Miscellaneous | (22,867) | |
Total expenses before reductions | 3,311,954 | |
Expense reductions | (4,122) | 3,307,832 |
Net investment income | 13,948,951 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 6,050,025 | |
Fidelity Central Funds | (54,109,453) |
|
Swap agreements | (3,132,045) |
|
Total net realized gain (loss) |
| (51,191,473) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (26,222,138) | |
Swap agreements | 4,954,985 | |
Total change in net unrealized appreciation (depreciation) |
| (21,267,153) |
Net gain (loss) | (72,458,626) | |
Net increase (decrease) in net assets resulting from operations | $ (58,509,675) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended February 28, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 13,948,951 | $ 54,822,787 |
Net realized gain (loss) | (51,191,473) | (4,076,446) |
Change in net unrealized appreciation (depreciation) | (21,267,153) | (24,788,132) |
Net increase (decrease) in net assets resulting from operations | (58,509,675) | 25,958,209 |
Distributions to shareholders from net investment income | (19,323,285) | (56,702,503) |
Share transactions - net increase (decrease) | (126,015,790) | (533,888,338) |
Total increase (decrease) in net assets | (203,848,750) | (564,632,632) |
|
|
|
Net Assets | ||
Beginning of period | 991,290,057 | 1,555,922,689 |
End of period (including distributions in excess of net investment income of $3,853,986 and undistributed net investment income of $1,520,348, respectively) | $ 787,441,307 | $ 991,290,057 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.31 | $ 10.64 | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .156 | .457 | .487 | .385 | .397 | .385 | .420 |
Net realized and unrealized gain (loss) | (.789) | (.319) | (.167) | (.043) | (.338) | .120 | .254 |
Total from investment operations | (.633) | .138 | .320 | .342 | .059 | .505 | .674 |
Distributions from net investment income | (.217) | (.468) | (.460) | (.382) | (.379) | (.385) | (.414) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.217) | (.468) | (.460) | (.432) | (.529) | (.485) | (.414) |
Net asset value, end of period | $ 9.46 | $ 10.31 | $ 10.64 | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 |
Total Return B, C, D | (6.13)% | 1.28% | 2.99% | 3.23% | .54% | 4.58% | 6.16% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | .88% A | .85% | .79% | .75% A | .81% | .84% | .81% |
Expenses net of fee waivers, if any | .88% A | .85% | .79% | .75% A | .81% | .84% | .81% |
Expenses net of all reductions | .88% A | .85% | .78% | .74% A | .80% | .84% | .81% |
Net investment income | 3.25% A | 4.32% | 4.52% | 4.30% A | 3.60% | 3.42% | 3.72% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 178,558 | $ 216,683 | $ 255,591 | $ 229,490 | $ 219,441 | $ 186,748 | $ 166,701 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class T
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.32 | $ 10.64 | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .158 | .462 | .484 | .377 | .386 | .374 | .408 |
Net realized and unrealized gain (loss) | (.788) | (.310) | (.178) | (.043) | (.338) | .130 | .253 |
Total from investment operations | (.630) | .152 | .306 | .334 | .048 | .504 | .661 |
Distributions from net investment income | (.220) | (.472) | (.456) | (.374) | (.368) | (.374) | (.401) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.220) | (.472) | (.456) | (.424) | (.518) | (.474) | (.401) |
Net asset value, end of period | $ 9.47 | $ 10.32 | $ 10.64 | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 |
Total Return B, C, D | (6.10)% | 1.41% | 2.85% | 3.15% | .43% | 4.56% | 6.03% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | .82% A | .82% | .82% | .84% A | .91% | .95% | .93% |
Expenses net of fee waivers, if any | .82% A | .82% | .82% | .84% A | .91% | .95% | .93% |
Expenses net of all reductions | .82% A | .82% | .82% | .83% A | .91% | .95% | .93% |
Net investment income | 3.31% A | 4.35% | 4.48% | 4.21% A | 3.49% | 3.32% | 3.60% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 276,606 | $ 344,229 | $ 503,737 | $ 563,677 | $ 622,245 | $ 680,947 | $ 711,263 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class B
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.30 | $ 10.63 | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .123 | .385 | .409 | .316 | .310 | .295 | .331 |
Net realized and unrealized gain (loss) | (.788) | (.318) | (.169) | (.043) | (.338) | .120 | .253 |
Total from investment operations | (.665) | .067 | .240 | .273 | (.028) | .415 | .584 |
Distributions from net investment income | (.185) | (.397) | (.380) | (.313) | (.292) | (.295) | (.324) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.185) | (.397) | (.380) | (.363) | (.442) | (.395) | (.324) |
Net asset value, end of period | $ 9.45 | $ 10.30 | $ 10.63 | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 |
Total Return B, C, D | (6.45)% | .60% | 2.24% | 2.57% | (.25)% | 3.75% | 5.32% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | 1.55% A | 1.53% | 1.52% | 1.52% A | 1.61% | 1.66% | 1.60% |
Expenses net of fee waivers, if any | 1.55% A | 1.53% | 1.52% | 1.52% A | 1.60% | 1.65% | 1.60% |
Expenses net of all reductions | 1.55% A | 1.53% | 1.52% | 1.52% A | 1.60% | 1.65% | 1.60% |
Net investment income | 2.58% A | 3.64% | 3.78% | 3.52% A | 2.80% | 2.62% | 2.92% |
Supplemental Data |
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|
|
|
|
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Net assets, end of period (000 omitted) | $ 12,213 | $ 15,141 | $ 22,609 | $ 46,344 | $ 73,017 | $ 118,751 | $ 154,697 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class C
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 J | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.29 | $ 10.62 | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .120 | .378 | .400 | .308 | .301 | .289 | .322 |
Net realized and unrealized gain (loss) | (.788) | (.317) | (.167) | (.042) | (.337) | .120 | .254 |
Total from investment operations | (.668) | .061 | .233 | .266 | (.036) | .409 | .576 |
Distributions from net investment income | (.182) | (.391) | (.373) | (.306) | (.284) | (.289) | (.316) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.182) | (.391) | (.373) | (.356) | (.434) | (.389) | (.316) |
Net asset value, end of period | $ 9.44 | $ 10.29 | $ 10.62 | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 |
Total Return B, C, D | (6.49)% | .54% | 2.18% | 2.51% | (.33)% | 3.70% | 5.26% |
Ratios to Average Net Assets F, H |
|
|
|
|
|
|
|
Expenses before reductions | 1.62% A | 1.59% | 1.59% | 1.60% A | 1.67% | 1.70% | 1.67% |
Expenses net of fee waivers, if any | 1.62% A | 1.59% | 1.59% | 1.60% A | 1.67% | 1.70% | 1.67% |
Expenses net of all reductions | 1.62% A | 1.59% | 1.58% | 1.60% A | 1.67% | 1.70% | 1.67% |
Net investment income | 2.52% A | 3.58% | 3.72% | 3.45% A | 2.73% | 2.57% | 2.86% |
Supplemental Data |
|
|
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|
|
|
|
Net assets, end of period (000 omitted) | $ 52,145 | $ 52,529 | $ 58,693 | $ 63,946 | $ 74,522 | $ 91,149 | $ 113,849 |
Portfolio turnover rate G | 101% A | 81% | 89% K | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. K Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 I | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.34 | $ 10.66 | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 | $ 11.08 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .173 | .494 | .513 | .401 | .417 | .400 | .437 |
Net realized and unrealized gain (loss) | (.800) | (.311) | (.169) | (.043) | (.339) | .122 | .254 |
Total from investment operations | (.627) | .183 | .344 | .358 | .078 | .522 | .691 |
Distributions from net investment income | (.233) | (.503) | (.484) | (.398) | (.398) | (.402) | (.431) |
Distributions from net realized gain | - | - | - | (.050) | (.150) | (.100) | - |
Total distributions | (.233) | (.503) | (.484) | (.448) | (.548) | (.502) | (.431) |
Net asset value, end of period | $ 9.48 | $ 10.34 | $ 10.66 | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 |
Total Return B, C | (6.05)% | 1.71% | 3.22% | 3.37% | .71% | 4.72% | 6.30% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
|
Expenses before reductions | .54% A | .53% | .55% | .57% A | .63% | .70% | .66% |
Expenses net of fee waivers, if any | .54% A | .53% | .55% | .57% A | .63% | .70% | .66% |
Expenses net of all reductions | .54% A | .53% | .55% | .57% A | .63% | .70% | .66% |
Net investment income | 3.60% A | 4.64% | 4.75% | 4.48% A | 3.77% | 3.57% | 3.87% |
Supplemental Data |
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|
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|
|
|
|
Net assets, end of period (000 omitted) | $ 267,919 | $ 362,708 | $ 715,292 | $ 582,070 | $ 465,201 | $ 269,727 | $ 155,302 |
Portfolio turnover rate F | 101% A | 81% | 89% J | 43% A | 73% | 96% | 108% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. I For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. J Portfolio turnover rate excludes securities received or delivered in-kind.
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2009 (Unaudited)
1. Organization.
Fidelity Advisor Intermediate Bond Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central | Investment | Investment | Investment |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central | Investment | Investment | Investment |
Fidelity Commercial Mortgage-Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company, Inc. (FMRC) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 7,729,686 |
Unrealized depreciation | (85,083,117) |
Net unrealized appreciation (depreciation) | $ (77,353,431) |
Cost for federal income tax purposes | $ 889,647,040 |
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after
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3. Significant Accounting Policies - continued
New Accounting Pronouncement - continued
November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Operating Policies - continued
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event
Semiannual Report
4. Operating Policies - continued
Swap Agreements - continued
may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $35,358,015 representing 4.5% of net assets.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $212,776,810 and $295,187,861, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20%
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | -% | .25% | $ 235,054 | $ 11,775 |
Class T | -% | .25% | 369,055 | 4,792 |
Class B | .65% | .25% | 58,168 | 42,207 |
Class C | .75% | .25% | 247,693 | 20,688 |
|
|
| $ 909,970 | $ 79,462 |
Sales Load. FDC receives a front-end sales charge of up to 2.75% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 8,150 |
Class T | 3,751 |
Class B* | 16,446 |
Class C* | 2,568 |
| $ 30,915 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 230,962 | .25 |
Class T | 277,113 | .19 |
Class B | 16,671 | .26 |
Class C | 55,193 | .23 |
Institutional Class | 228,605 | .16 |
| $ 808,544 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro-rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $34,413,111 in return for its 550,378 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.
On February 20, 2009, the Fund redeemed in-kind 1,969,867 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $177,302,227 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $2,634 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $15,671.
9. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $3,909. During the period, credits reduced each class' transfer agent expense as noted in the table below.
| Transfer Agent |
Class A | $ 213 |
Semiannual Report
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Six months ended | Year ended |
From net investment income |
|
|
Class A | $ 4,243,609 | $ 11,114,337 |
Class T | 6,734,581 | 19,685,484 |
Class B | 248,969 | 698,735 |
Class C | 935,568 | 2,134,294 |
Institutional Class | 7,160,558 | 23,069,653 |
Total | $ 19,323,285 | $ 56,702,503 |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class A |
|
|
|
|
Shares sold | 3,280,847 | 7,478,814 | $ 31,664,251 | $ 79,389,123 |
Reinvestment of distributions | 385,525 | 913,344 | 3,670,163 | 9,656,597 |
Shares redeemed | (5,801,511) | (11,412,910) | (55,761,991) | (120,176,822) |
Net increase (decrease) | (2,135,139) | (3,020,752) | $ (20,427,577) | $ (31,131,102) |
Class T |
|
|
|
|
Shares sold | 4,482,202 | 10,443,380 | $ 43,382,649 | $ 110,997,567 |
Reinvestment of distributions | 674,655 | 1,758,963 | 6,428,526 | 18,626,931 |
Shares redeemed | (9,293,195) | (26,180,797) | (89,999,382) | (277,194,128) |
Net increase (decrease) | (4,136,338) | (13,978,454) | $ (40,188,207) | $ (147,569,630) |
Class B |
|
|
|
|
Shares sold | 355,157 | 542,893 | $ 3,421,658 | $ 5,772,343 |
Reinvestment of distributions | 23,233 | 58,357 | 220,987 | 616,990 |
Shares redeemed | (555,693) | (1,259,274) | (5,368,914) | (13,340,826) |
Net increase (decrease) | (177,303) | (658,024) | $ (1,726,269) | $ (6,951,493) |
Class C |
|
|
|
|
Shares sold | 1,452,272 | 1,247,916 | $ 13,932,508 | $ 13,263,460 |
Reinvestment of distributions | 81,074 | 166,125 | 770,048 | 1,753,152 |
Shares redeemed | (1,113,482) | (1,839,485) | (10,695,243) | (19,383,480) |
Net increase (decrease) | 419,864 | (425,444) | $ 4,007,313 | $ (4,366,868) |
Institutional Class |
|
|
|
|
Shares sold | 2,602,480 | 4,941,786 | $ 25,200,052 | $ 52,330,544 |
Reinvestment of distributions | 717,438 | 2,074,699 | 6,849,721 | 22,020,750 |
Shares redeemed | (10,154,024) | (39,037,602) | (99,730,823) | (418,220,539) |
Net increase (decrease) | (6,834,106) | (32,021,117) | $ (67,681,050) | $ (343,869,245) |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fidelity Advisor Freedom Funds were the owners of record, in the aggregate, of approximately 25% of the total outstanding shares of the Fund. Subsequent to period end, the Fidelity Advisor Freedom Funds sold all their shares of the Fund.
Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro-rata portion of CMBS' net assets.
In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro-rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.
13. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
Fidelity Investments Money
Management, Inc.
FIL Investment Advisors
FIL Investment Advisors
(U.K.) Ltd.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
LTBI-USAN-0409 1.784889.106
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Mortgage Securities
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
February 28, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
|
|
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .86% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,015.40 | $ 4.30 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.53 | $ 4.31 |
Class T | .86% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,015.40 | $ 4.30 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.53 | $ 4.31 |
Class B | 1.51% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,012.10 | $ 7.53 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.31 | $ 7.55 |
Class C | 1.61% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,011.70 | $ 8.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.81 | $ 8.05 |
Fidelity Mortgage Securities Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,017.40 | $ 2.25 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | .53% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,017.10 | $ 2.65 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.17 | $ 2.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Coupon Distribution as of February 28, 2009 | ||
| % of fund's investments | % of fund's investments |
Less than 4% | 5.6 | 5.2 |
4 - 4.99% | 6.5 | 7.7 |
5 - 5.99% | 45.2 | 44.9 |
6 - 6.99% | 35.3 | 30.8 |
7% and over | 5.2 | 4.9 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of February 28, 2009 | ||
|
| 6 months ago |
Years | 3.5 | 5.2 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of February 28, 2009 | ||
|
| 6 months ago |
Years | 2.1 | 4.3 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2009 * | As of August 31, 2008 ** | ||||||
![]() | Mortgage |
| ![]() | Mortgage |
| ||
![]() | CMOs and |
| ![]() | CMOs and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 0.7% |
| ** Foreign investments | 1.3% |
| ||
* Futures and Swaps | (4.4)% |
| ** Futures and Swaps | (8.8)% |
|
† Short-Term Investments and Net Other Assets are not included in the pie chart. |
Semiannual Report
Investments February 28, 2009 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 115.1% | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - 67.1% | ||||
3.575% 1/1/32 (g) | $ 144 | $ 144 | ||
4.162% 1/1/35 (g) | 1,899 | 1,921 | ||
4.303% 3/1/33 (g) | 86 | 87 | ||
4.328% 1/1/35 (g) | 2,246 | 2,261 | ||
4.34% 1/1/35 (g) | 210 | 213 | ||
4.423% 5/1/35 (g) | 129 | 130 | ||
4.432% 3/1/35 (g) | 303 | 308 | ||
4.456% 7/1/35 (g) | 931 | 926 | ||
4.5% 10/1/19 to 9/1/31 (c) | 22,840 | 23,194 | ||
4.5% 3/12/39 (b)(c) | 12,000 | 12,032 | ||
4.548% 10/1/33 (g) | 135 | 136 | ||
4.55% 10/1/35 (g) | 1,179 | 1,195 | ||
4.583% 8/1/34 (g) | 473 | 479 | ||
4.667% 7/1/35 (g) | 173 | 176 | ||
4.7% 2/1/35 (g) | 1,001 | 1,018 | ||
4.739% 8/1/35 (g) | 741 | 752 | ||
4.742% 12/1/34 (g) | 170 | 172 | ||
4.747% 4/1/35 (g) | 65 | 66 | ||
4.752% 10/1/35 (g) | 2,636 | 2,674 | ||
4.823% 12/1/35 (g) | 1,812 | 1,836 | ||
4.846% 4/1/33 (g) | 1,653 | 1,676 | ||
4.87% 7/1/35 (g) | 1,060 | 1,087 | ||
4.933% 1/1/35 (g) | 537 | 544 | ||
4.933% 7/1/35 (g) | 45 | 47 | ||
4.987% 7/1/35 (g) | 3,088 | 3,141 | ||
5% 9/1/16 to 7/1/38 (c)(e) | 90,595 | 92,538 | ||
5% 3/12/39 (b) | 9,000 | 9,156 | ||
5.048% 1/1/37 (g) | 1,270 | 1,297 | ||
5.095% 7/1/34 (g) | 357 | 359 | ||
5.141% 5/1/35 (g) | 124 | 126 | ||
5.16% 10/1/18 (g) | 77 | 78 | ||
5.174% 8/1/34 (g) | 1,053 | 1,071 | ||
5.198% 3/1/35 (g) | 110 | 110 | ||
5.265% 12/1/36 (g) | 543 | 555 | ||
5.307% 7/1/35 (g) | 760 | 786 | ||
5.328% 6/1/36 (g) | 1,818 | 1,886 | ||
5.336% 7/1/35 (g) | 436 | 446 | ||
5.342% 2/1/37 (g) | 561 | 575 | ||
5.481% 6/1/32 (g) | 341 | 343 | ||
5.5% 6/1/11 to 5/1/38 (c) | 97,371 | 100,354 | ||
5.5% 3/17/24 (b) | 2,000 | 2,073 | ||
5.5% 3/17/24 (b) | 2,000 | 2,073 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
5.5% 3/17/24 (b) | $ 6,800 | $ 7,050 | ||
5.5% 3/12/39 (b) | 20,000 | 20,489 | ||
5.5% 3/12/39 (b) | 7,000 | 7,171 | ||
5.5% 3/12/39 (b)(c) | 50,500 | 51,734 | ||
5.5% 3/12/39 (b)(c) | 14,500 | 14,854 | ||
5.573% 10/1/36 (g) | 285 | 296 | ||
5.658% 6/1/36 (g) | 1,414 | 1,463 | ||
5.77% 3/1/36 (g) | 3,223 | 3,341 | ||
5.798% 1/1/36 (g) | 563 | 586 | ||
5.806% 11/1/36 (g) | 886 | 906 | ||
5.819% 9/1/36 (g) | 873 | 888 | ||
5.823% 7/1/36 (g) | 609 | 634 | ||
5.845% 3/1/36 (g) | 1,849 | 1,926 | ||
5.851% 3/1/36 (g) | 1,492 | 1,545 | ||
5.952% 4/1/36 (g) | 398 | 413 | ||
5.952% 9/1/36 (g) | 781 | 813 | ||
5.954% 5/1/36 (g) | 565 | 587 | ||
6% 3/1/09 to 11/1/37 (c) | 109,977 | 114,484 | ||
6% 9/1/36 (g) | 663 | 691 | ||
6% 3/12/39 (b)(c) | 18,000 | 18,594 | ||
6% 3/12/39 (b)(c) | 62,000 | 64,046 | ||
6.008% 4/1/36 (g) | 6,024 | 6,258 | ||
6.091% 9/1/36 (g) | 640 | 667 | ||
6.118% 4/1/36 (g) | 869 | 904 | ||
6.192% 2/1/35 (g) | 104 | 106 | ||
6.198% 5/1/37 (g) | 83 | 87 | ||
6.226% 5/1/36 (g) | 1,844 | 1,920 | ||
6.241% 6/1/36 (g) | 3,144 | 3,275 | ||
6.243% 6/1/36 (g) | 137 | 139 | ||
6.245% 8/1/46 (g) | 320 | 334 | ||
6.346% 5/1/36 (g) | 1,315 | 1,371 | ||
6.433% 4/1/37 (g) | 964 | 1,006 | ||
6.499% 12/1/36 (g) | 204 | 212 | ||
6.5% 5/1/12 to 9/1/47 (c) | 58,235 | 61,262 | ||
6.5% 3/12/39 (b) | 1,000 | 1,045 | ||
6.555% 12/1/36 (g) | 285 | 298 | ||
6.784% 9/1/37 (g) | 1,489 | 1,554 | ||
6.862% 9/1/37 (g) | 676 | 705 | ||
6.946% 9/1/37 (g) | 536 | 559 | ||
7% 12/1/15 to 7/1/37 | 9,014 | 9,597 | ||
7.075% 9/1/37 (g) | 720 | 752 | ||
7.5% 8/1/22 to 5/1/37 | 13,539 | 14,380 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
8% 12/1/29 to 3/1/37 | $ 176 | $ 186 | ||
8.5% 1/1/16 to 7/1/31 | 218 | 236 | ||
9% 2/1/13 to 10/1/30 | 536 | 583 | ||
9.5% 11/1/09 to 8/1/22 | 80 | 88 | ||
11% 8/1/10 | 9 | 9 | ||
12.25% 5/1/15 | 14 | 16 | ||
12.5% 8/1/15 to 3/1/16 | 17 | 20 | ||
12.75% 2/1/15 | 4 | 4 | ||
13.5% 9/1/14 | 3 | 4 | ||
| 690,129 | |||
Freddie Mac - 36.0% | ||||
3.456% 2/1/34 (g) | 166 | 166 | ||
3.741% 5/1/34 (g) | 31 | 32 | ||
4.275% 6/1/35 (g) | 283 | 287 | ||
4.315% 12/1/34 (g) | 229 | 233 | ||
4.329% 11/1/31 (g) | 62 | 62 | ||
4.407% 3/1/35 (g) | 286 | 290 | ||
4.471% 3/1/35 (g) | 256 | 259 | ||
4.546% 3/1/34 (g) | 2,392 | 2,422 | ||
4.569% 12/1/33 (g) | 1,036 | 1,044 | ||
4.58% 6/1/33 (g) | 2,020 | 2,062 | ||
4.709% 11/1/35 (g) | 935 | 947 | ||
4.789% 2/1/36 (g) | 254 | 260 | ||
4.801% 3/1/35 (g) | 499 | 504 | ||
5% 6/1/18 to 6/1/38 (c) | 35,899 | 36,599 | ||
5% 3/12/39 (b) | 2,000 | 2,032 | ||
5% 3/12/39 (b) | 5,000 | 5,079 | ||
5.023% 4/1/35 (g) | 140 | 144 | ||
5.158% 10/1/33 (g) | 1,647 | 1,674 | ||
5.288% 3/1/35 (g) | 174 | 175 | ||
5.443% 4/1/37 (g) | 365 | 374 | ||
5.5% 6/1/09 to 1/1/38 | 42,700 | 43,987 | ||
5.5% 3/12/39 (b) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 23,000 | 23,557 | ||
5.5% 4/13/39 (b) | 23,000 | 23,495 | ||
5.5% 4/13/39 (b) | 18,000 | 18,388 | ||
5.5% 4/13/39 (b) | 18,000 | 18,387 | ||
5.548% 1/1/37 (g) | 1,842 | 1,886 | ||
5.694% 10/1/35 (g) | 246 | 257 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Freddie Mac - continued | ||||
5.757% 3/1/37 (g) | $ 1,966 | $ 1,994 | ||
5.78% 4/1/37 (g) | 1,896 | 1,944 | ||
5.812% 6/1/37 (g) | 1,532 | 1,588 | ||
5.834% 5/1/37 (g) | 585 | 599 | ||
5.948% 4/1/36 (g) | 1,277 | 1,322 | ||
6% 4/1/14 to 7/1/37 | 38,372 | 40,064 | ||
6% 3/1/39 (b) | 8,500 | 8,799 | ||
6.006% 6/1/36 (g) | 576 | 598 | ||
6.098% 4/1/37 (g) | 596 | 621 | ||
6.139% 10/1/36 (g) | 130 | 136 | ||
6.142% 12/1/36 (g) | 877 | 912 | ||
6.169% 7/1/36 (g) | 3,267 | 3,392 | ||
6.181% 5/1/36 (g) | 545 | 565 | ||
6.228% 3/1/36 (g) | 2,926 | 3,049 | ||
6.303% 7/1/36 (g) | 587 | 609 | ||
6.362% 10/1/36 (g) | 3,289 | 3,425 | ||
6.416% 12/1/36 (g) | 1,587 | 1,654 | ||
6.418% 6/1/37 (g) | 167 | 174 | ||
6.5% 4/1/11 to 8/1/47 | 26,126 | 27,474 | ||
6.581% 12/1/36 (g) | 3,755 | 3,918 | ||
6.594% 1/1/37 (g) | 1,853 | 1,934 | ||
6.619% 6/1/37 (g) | 187 | 195 | ||
6.625% 7/1/36 (g) | 2,758 | 2,878 | ||
6.644% 6/1/36 (g) | 389 | 406 | ||
6.65% 8/1/37 (g) | 1,169 | 1,217 | ||
6.837% 10/1/36 (g) | 2,346 | 2,447 | ||
7% 6/1/21 to 9/1/36 | 6,264 | 6,648 | ||
7.128% 2/1/37 (g) | 256 | 267 | ||
7.5% 11/1/10 to 4/1/37 | 10,442 | 11,061 | ||
7.524% 4/1/37 (g) | 122 | 127 | ||
8% 11/1/16 to 1/1/37 | 245 | 258 | ||
8.5% 7/1/09 to 9/1/20 | 25 | 27 | ||
9% 7/1/13 to 5/1/21 | 206 | 222 | ||
10% 6/1/09 to 5/1/19 | 40 | 43 | ||
10.5% 8/1/10 to 2/1/16 | 3 | 3 | ||
12.5% 10/1/12 to 12/1/14 | 27 | 29 | ||
13% 12/1/13 to 6/1/15 | 60 | 68 | ||
| 370,577 | |||
Government National Mortgage Association - 12.0% | ||||
4.5% 3/18/39 (b) | 12,000 | 12,045 | ||
5% 1/20/33 to 2/20/39 | 9,988 | 10,205 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Government National Mortgage Association - continued | ||||
5.5% 3/18/39 (b) | $ 13,000 | $ 13,331 | ||
5.5% 3/18/39 (b) | 1,000 | 1,027 | ||
5.5% 3/18/39 (b) | 18,000 | 18,458 | ||
5.5% 3/18/39 (b) | 300 | 308 | ||
5.5% 3/18/39 (b) | 14,000 | 14,379 | ||
5.5% 3/18/39 (b) | 4,000 | 4,102 | ||
5.5% 3/18/39 (b) | 3,000 | 3,076 | ||
6% 1/15/36 | 7,770 | 8,075 | ||
6% 3/18/39 (b) | 10,000 | 10,327 | ||
6% 3/18/39 (b) | 14,000 | 14,457 | ||
6.5% 5/15/28 to 7/15/36 | 7,158 | 7,526 | ||
7% 2/15/24 to 7/15/32 | 3,335 | 3,542 | ||
7.5% 9/15/16 to 4/15/32 | 1,142 | 1,202 | ||
8% 6/15/21 to 12/15/25 | 451 | 480 | ||
8.5% 8/15/16 to 10/15/28 | 638 | 691 | ||
9% 11/20/17 | 2 | 2 | ||
10.5% 12/20/15 to 2/20/18 | 56 | 64 | ||
13.5% 7/15/11 | 2 | 2 | ||
| 123,299 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,164,697) | 1,184,005 | |||
Asset-Backed Securities - 4.8% | ||||
| ||||
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class A2A, 0.5238% 10/25/36 (g) | 158 | 153 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2005-R10 Class A2B, 0.6938% 12/25/35 (g) | 522 | 358 | ||
Argent Securities, Inc. Series 2006-M2 Class A2A, 0.5238% 9/25/36 (g) | 197 | 195 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2005-AQ2 Class M7, 2.1238% 9/25/35 (g) | 335 | 1 | ||
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (g) | 600 | 273 | ||
Series 2006-HE1 Class 1A2, 0.6938% 12/25/35 (g) | 3,574 | 2,853 | ||
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (g) | 565 | 432 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (g) | 306 | 263 | ||
Capital Auto Receivables Asset Trust Series 2007-SN1 Class D, 6.05% 1/17/12 | 970 | 485 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2006-HE2 Class A2A, 0.5238% 8/26/36 (g) | 13 | 13 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Citigroup Mortgage Loan Trust: - continued | ||||
Series 2006-NC2 Class A2A, 0.5138% 9/25/36 (g) | $ 51 | $ 50 | ||
Series 2006-WF2 Class A2B, 5.735% 5/25/36 | 255 | 250 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2006-13 Class 1AF1, 0.5938% 1/25/37 (g) | 49 | 46 | ||
Series 2007-11 Class 2A1, 0.5338% 6/25/47 (g) | 4,178 | 3,708 | ||
Series 2007-4 Class A1A, 0.5938% 9/25/37 (g) | 3,346 | 3,020 | ||
Series 2007-5 Class 2A1, 0.5738% 4/25/29 (g) | 2,080 | 1,800 | ||
Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (g) | 629 | 536 | ||
First Franklin Mortgage Loan Trust Series 2006-FF5 Class 2A2, 0.5838% 4/25/36 (g) | 354 | 324 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-C Class D, 6.89% 5/15/13 (a) | 715 | 356 | ||
Series 2007-A Class D, 7.05% 12/15/13 (a) | 350 | 175 | ||
Fremont Home Loan Trust Series 2006-3 Class 2A1, 0.5438% 2/25/37 (g) | 12 | 11 | ||
GSAMP Trust: | ||||
Series 2004-AR1 Class B4, 5% 6/25/34 (a)(g) | 160 | 13 | ||
Series 2004-AR2 Class B1, 2.3738% 8/25/34 (g) | 796 | 35 | ||
GSR Mortgage Loan Trust Series 2006-6 Class AV1, 0.4594% 3/25/36 (g) | 25 | 24 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (a)(g) | 2,325 | 1,186 | ||
Home Equity Asset Trust Series 2006-8 Class 2A1, 0.5238% 3/25/37 (g) | 42 | 36 | ||
JPMorgan Mortgage Acquisition Trust Series 2006-WF1: | ||||
Class A1A, 5.6% 7/25/36 | 25 | 25 | ||
Class A1B, 0.5738% 7/25/36 (g) | 199 | 196 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a) | 10,820 | 4,112 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2005-WL1 Class M2, 1.0238% 6/25/35 (g) | 1,785 | 1,005 | ||
Series 2006-2 Class 2A2, 0.6038% 3/25/36 (g) | 134 | 131 | ||
Series 2006-8 Class 2A1, 0.5138% 9/25/36 (g) | 196 | 185 | ||
Merrill Lynch Mortgage Investors Trust Series 2006-MLN1 Class A2A, 0.5438% 7/25/37 (g) | 402 | 369 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2005-3 Class A3, 0.8538% 8/25/35 (g) | 6,101 | 5,086 | ||
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (g) | 619 | 585 | ||
Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (g) | 70 | 57 | ||
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (g) | 70 | 47 | ||
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (g) | 43 | 34 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.5738% 4/25/37 (g) | $ 898 | $ 682 | ||
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (g) | 97 | 90 | ||
National Collegiate Student Loan Trust: | ||||
Series 2006-4 Class AIO, 6.35% 2/27/12 (h) | 4,205 | 570 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (h) | 6,370 | 1,041 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (h) | 4,540 | 717 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 0.9894% 11/1/52 (a)(g) | 5,000 | 600 | ||
Nomura Home Equity Loan Trust Series 2006-AF1 Class A1, 6.032% 10/25/36 | 162 | 141 | ||
NovaStar Mortgage Funding Trust Series 2006-6 Class A2A, 0.5438% 1/25/37 (g) | 130 | 120 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.87% 3/20/11 (a)(g) | 2,100 | 840 | ||
Option One Mortgage Loan Trust: | ||||
Series 2007-5 Class 2A1, 0.5638% 5/25/37 (g) | 242 | 215 | ||
Series 2007-6 Class 2A1, 0.5338% 7/25/37 (g) | 283 | 254 | ||
Ownit Mortgage Loan Trust Series 2006-6 Class A2A, 0.5338% 9/25/37 (g) | 417 | 395 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 0.5438% 9/25/36 (g) | 448 | 428 | ||
RAMP Trust Series 2006-RS4 Class A2, 0.5838% 7/25/36 (g) | 4,169 | 3,709 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 401 | 361 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (g) | 302 | 265 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 2.1938% 1/25/36 (g) | 500 | 13 | ||
Series 2006-FR4 Class A2A, 0.5538% 8/25/36 (g) | 351 | 218 | ||
Series 2007-NC1 Class A2A, 0.5238% 12/25/36 (g) | 234 | 185 | ||
Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36 | 50 | 50 | ||
Structured Asset Securities Corp.: | ||||
Series 2005-NC2 Class M3, 0.9038% 5/25/35 (g) | 1,995 | 632 | ||
Series 2007-BC4 Class A3, 0.6394% 11/25/37 (g) | 2,307 | 1,885 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (g) | 5,286 | 4,005 | ||
WaMu Asset Holdings Corp.: | ||||
Series 2006-5 Class N1, 5.926% 7/25/46 (a) | 1,148 | 0* | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
WaMu Asset Holdings Corp.: - continued | ||||
Series 2006-7 Class N1, 5.926% 10/25/46 (a) | $ 912 | $ 0* | ||
Series 2006-8 Class N1, 6.048% 10/25/46 (a) | 1,160 | 0* | ||
Wells Fargo Home Equity Trust: | ||||
Series 2006-2 Class A2, 0.5738% 7/25/36 (g) | 824 | 745 | ||
Series 2007-2 Class A1, 0.5638% 4/25/37 (g) | 3,683 | 3,038 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $76,470) | 49,627 | |||
Collateralized Mortgage Obligations - 17.6% | ||||
| ||||
Private Sponsor - 4.0% | ||||
American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (g) | 6,360 | 2,862 | ||
Arkle Master Issuer PLC floater Series 2006-1A Class 3C, 1.6275% 2/17/52 (a)(g) | 910 | 683 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-J Class 2A2, 5.2918% 11/25/33 (g) | 501 | 406 | ||
Series 2004-1 Class 2A2, 4.6723% 10/25/34 (g) | 1,697 | 1,321 | ||
Series 2004-A: | ||||
Class 2A1, 5.1951% 2/25/34 (g) | 339 | 276 | ||
Class 2A2, 5.1951% 2/25/34 (g) | 1,464 | 1,194 | ||
Series 2004-D Class 2A1, 3.6163% 5/25/34 (g) | 200 | 154 | ||
Series 2004-J Class 2A1, 4.7597% 11/25/34 (g) | 874 | 680 | ||
Series 2005-H: | ||||
Class 1A1, 5.3329% 9/25/35 (g) | 196 | 141 | ||
Class 2A2, 4.8028% 9/25/35 (g) | 1,877 | 605 | ||
Citigroup Mortgage Loan Trust Series 2006-AR7 Class 1A1, 5.7236% 11/25/36 (g) | 202 | 116 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 0.8738% 3/25/35 (g) | 69 | 29 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.3796% 1/28/32 (a)(g) | 229 | 110 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (g) | 2,047 | 1,575 | ||
Fosse Master Issuer PLC floater Series 2006-1A Class C2, 1.6125% 10/18/54 (a)(g) | 770 | 385 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (a)(g) | 1,675 | 783 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (a)(g) | 2,520 | 1,091 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 1.02% 12/20/54 (g) | $ 700 | $ 49 | ||
Series 2006-2 Class C1, 0.94% 12/20/54 (g) | 155 | 16 | ||
Series 2007-1: | ||||
Class 1C1, 0.77% 12/20/54 (g) | 940 | 94 | ||
Class 2C1, 0.9% 12/20/54 (g) | 500 | 50 | ||
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (g) | 1,355 | 136 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1B, 1.5925% 1/20/44 (g) | 661 | 231 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (g) | 897 | 617 | ||
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (a)(g) | 490 | 343 | ||
Luminent Mortgage Trust floater Series 2006-1 Class A1, 0.7138% 4/25/36 (g) | 2,570 | 1,022 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6838% 5/25/47 (g) | 1,000 | 483 | ||
MASTR Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18 | 2,773 | 2,325 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (g) | 4,062 | 1,706 | ||
Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 0.955% 6/15/22 (a)(g) | 4,998 | 3,074 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2004-A4 Class A1, 4.2286% 8/25/34 (g) | 2,947 | 2,254 | ||
Series 2006-A6 Class A4, 5.3897% 10/25/33 (g) | 2,506 | 2,042 | ||
Permanent Financing No. 4 PLC Class 3C, 2.9894% 6/10/42 (g) | 1,405 | 1,401 | ||
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (g) | 610 | 413 | ||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 715 | 632 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 82 | 71 | ||
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (g) | 1,597 | 1,297 | ||
Structured Asset Securities Corp.: | ||||
Series 2003-15A Class 4A, 5.4533% 4/25/33 (g) | 1,527 | 1,238 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 1,114 | 954 | ||
WaMu Mortgage pass-thru certificates: | ||||
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (g) | 395 | 391 | ||
Series 2005-AR16 Class 1A3, 5.102% 12/25/35 (g) | 2,065 | 1,173 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-W: | ||||
Class A1, 4.5429% 11/25/34 (g) | $ 1,495 | $ 1,193 | ||
Class A9, 4.5429% 11/25/34 (g) | 3,490 | 2,195 | ||
Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (g) | 907 | 693 | ||
Series 2005-AR2 Class 1A2, 4.6413% 3/25/35 (g) | 657 | 267 | ||
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (g) | 311 | 239 | ||
Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (g) | 3,448 | 2,466 | ||
TOTAL PRIVATE SPONSOR | 41,476 | |||
U.S. Government Agency - 13.6% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1994-23: | ||||
Class PX, 6% 8/25/23 | 3,448 | 3,584 | ||
Class PZ, 6% 2/25/24 | 2,687 | 2,731 | ||
Series 1999-15 Class PC, 6% 9/25/18 | 654 | 658 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 1,145 | 1,141 | ||
Series 1993-165 Class SH, 18.3855% 9/25/23 (g)(j) | 156 | 177 | ||
Series 1999-17 Class PG, 6% 4/25/29 | 5,442 | 5,677 | ||
Series 2003-22 Class IO, 6% 4/25/33 (h) | 4,081 | 400 | ||
Series 2003-26 Class KI, 5% 12/25/15 (h) | 1,554 | 50 | ||
Series 2003-39 Class IA, 5.5% 10/25/22 (g)(h) | 1,859 | 138 | ||
Series 2006-48 Class LF, 0% 8/25/34 (g)(j) | 14 | 14 | ||
Fannie Mae Stripped Mortgage-Backed Securities: | ||||
sequential payer Series 377 Class 1, 10/1/36 (i) | 3,691 | 3,237 | ||
Series 339 Class 29, 5.5% 7/1/18 (h) | 1,799 | 139 | ||
Series 348 Class 14, 6.5% 8/1/34 (h) | 864 | 119 | ||
Series 351: | ||||
Class 12, 5.5% 4/1/34 (h) | 650 | 65 | ||
Class 13, 6% 3/1/34 (h) | 828 | 98 | ||
Series 359, Class 19 6% 7/1/35 (h) | 838 | 97 | ||
Series 384 Class 6, 5% 7/25/37 (h) | 4,427 | 490 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-36 Class FG, 0.8738% 4/25/37 (g) | 3,035 | 2,969 | ||
Series 2007-57 Class FA, 0.7038% 6/25/37 (g) | 7,484 | 7,310 | ||
planned amortization class: | ||||
Series 1999-32 Class PL, 6% 7/25/29 | 3,902 | 4,068 | ||
Series 2001-52 Class YZ, 6.5% 10/25/31 | 211 | 221 | ||
Series 2001-63 Class TC, 6% 12/25/31 | 4,065 | 4,223 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
planned amortization class: | ||||
Series 2001-72 Class NZ, 6% 12/25/31 | $ 1,196 | $ 1,238 | ||
Series 2005-14 Class ME, 5% 10/25/33 | 1,785 | 1,801 | ||
Series 2005-39 Class TE, 5% 5/25/35 | 1,120 | 1,105 | ||
Series 2005-73 Class SA, 16.3183% 8/25/35 (g) | 912 | 976 | ||
sequential payer: | ||||
Series 2001-20 Class Z, 6% 5/25/31 | 4,621 | 4,790 | ||
Series 2001-31 Class ZC, 6.5% 7/25/31 | 1,615 | 1,695 | ||
Series 2002-16 Class ZD, 6.5% 4/25/32 | 710 | 741 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 2,208 | 2,246 | ||
Series 2003-80 Class CG, 6% 4/25/30 | 595 | 620 | ||
Series 2005-41 Class LA, 5.5% 5/25/35 | 3,179 | 3,281 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 2,596 | 2,702 | ||
Series 2001-63 Class PG, 6% 12/25/31 | 1,943 | 2,017 | ||
Series 2001-74 Class QE, 6% 12/25/31 | 1,846 | 1,916 | ||
Series 2003-21 Class SK, 7.6263% 3/25/33 (g)(h)(j) | 819 | 94 | ||
Series 2003-3 Class HS, 7.1763% 9/25/16 (g)(h)(j) | 49 | 1 | ||
Series 2003-35: | ||||
Class BS, 6.5263% 4/25/17 (g)(h)(j) | 547 | 19 | ||
Class TQ, 7.0263% 5/25/18 (g)(h) | 719 | 63 | ||
Series 2003-42: | ||||
Class HS, 6.6263% 12/25/17 (g)(h)(j) | 6,606 | 475 | ||
Class SJ, 6.5763% 11/25/22 (g)(h) | 923 | 75 | ||
Series 2003-48 Class HI, 5% 11/25/17 (h) | 2,691 | 198 | ||
Series 2004-54 Class SW, 5.5263% 6/25/33 (g)(h)(j) | 3,711 | 226 | ||
Series 2006-4 Class IT, 6% 10/25/35 (h) | 421 | 35 | ||
Series 2007-36: | ||||
Class GO, 4/25/37 (i) | 486 | 380 | ||
Class SG, 6.1263% 4/25/37 (g)(h)(j) | 6,302 | 544 | ||
Series 2007-57 Class SA, 37.7775% 6/25/37 (g)(j) | 4,712 | 6,318 | ||
Series 2007-66: | ||||
Class FB, 0.8738% 7/25/37 (g) | 1,995 | 1,960 | ||
Class SA, 36.7575% 7/25/37 (g)(j) | 3,111 | 3,929 | ||
Class SB, 36.7575% 7/25/37 (g)(j) | 937 | 1,264 | ||
Freddie Mac: | ||||
floater Series 3318: | ||||
Class CY, 0% 11/15/36 (g) | 186 | 183 | ||
Class GY, 0% 5/15/37 (g) | 216 | 210 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
planned amortization class: | ||||
Series 2095 Class PE, 6% 11/15/28 (e) | $ 4,890 | $ 5,074 | ||
Series 2104 Class PG, 6% 12/15/28 | 1,457 | 1,511 | ||
Series 2162 Class PH, 6% 6/15/29 | 332 | 346 | ||
Series 70 Class C, 9% 9/15/20 | 98 | 106 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 704 | 734 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 1,687 | 1,754 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2958 Class TF, 0% 4/15/35 (g) | 500 | 425 | ||
Series 3129 Class MF, 0% 7/15/34 (g) | 352 | 340 | ||
Series 3222 Class HF, 0% 9/15/36 (g) | 531 | 485 | ||
planned amortization class: | ||||
Series 2121 Class MG, 6% 2/15/29 | 1,907 | 1,988 | ||
Series 2131 Class BG, 6% 3/15/29 | 7,676 | 7,973 | ||
Series 2137 Class PG, 6% 3/15/29 | 1,845 | 1,913 | ||
Series 2154 Class PT, 6% 5/15/29 | 2,883 | 3,004 | ||
Series 2435 Class VG, 6% 2/15/13 | 655 | 675 | ||
Series 2488 Class PR, 6% 8/15/32 | 1,018 | 1,058 | ||
Series 2520 Class BE, 6% 11/15/32 | 1,970 | 2,050 | ||
Series 2585 Class KS, 7.145% 3/15/23 (g)(h)(j) | 471 | 33 | ||
Series 2590 Class YR, 5.5% 9/15/32 (h) | 135 | 18 | ||
Series 2802 Class OB, 6% 5/15/34 (d)(e) | 3,375 | 3,458 | ||
Series 2810 Class PD, 6% 6/15/33 | 2,540 | 2,649 | ||
Series 3077 Class TO, 4/15/35 (i) | 3,993 | 3,168 | ||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | 2,186 | 2,279 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 755 | 794 | ||
Series 2281 Class ZB, 6% 3/15/30 | 912 | 952 | ||
Series 2388 Class ZA, 6% 12/15/31 | 4,725 | 4,901 | ||
Series 2417 Class KZ, 6% 2/15/32 | 1,017 | 1,056 | ||
Series 2502 Class ZC, 6% 9/15/32 | 1,696 | 1,759 | ||
Series 2504 Class Z, 6% 9/15/32 | 1,469 | 1,528 | ||
Series 2564 Class ES, 7.145% 2/15/22 (g)(h)(j) | 757 | 49 | ||
Series 2575 Class ID, 5.5% 8/15/22 (h) | 127 | 11 | ||
Series 2750 Class ZT, 5% 2/15/34 | 2,785 | 2,645 | ||
Series 2817 Class SD, 6.595% 7/15/30 (g)(h)(j) | 1,383 | 89 | ||
Series 3097 Class IA, 5.5% 3/15/33 (h) | 3,677 | 308 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 1658 Class GZ, 7% 1/15/24 | $ 2,111 | $ 2,183 | ||
Series 2587 Class IM, 6.5% 3/15/33 (h) | 1,373 | 176 | ||
Series 2844: | ||||
Class SC, 43.8425% 8/15/24 (g)(j) | 97 | 135 | ||
Class SD, 80.535% 8/15/24 (g)(j) | 141 | 300 | ||
Series 2957 Class SW, 5.545% 4/15/35 (g)(h) | 5,713 | 302 | ||
Series 3002 Class SN, 6.045% 7/15/35 (g)(h)(j) | 5,727 | 415 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
sequential payer Series 2002-42 Class ZA, 6% 6/20/32 | 1,847 | 1,921 | ||
Series 2003-11 Class S, 6.095% 2/16/33 (g)(h)(j) | 4,467 | 337 | ||
Series 2004-32 Class GS, 6.5% 5/16/34 (g)(h)(j) | 1,293 | 102 | ||
TOTAL U.S. GOVERNMENT AGENCY | 139,712 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $201,079) | 181,188 | |||
Commercial Mortgage Securities - 2.1% | ||||
| ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A-6, 7.4181% 2/14/43 (g) | 8,300 | 6,980 | ||
Class PS1, 1.5863% 2/14/43 (g)(h) | 15,229 | 540 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2006-3A: | ||||
Class B1, 1.2738% 10/25/36 (a)(g) | 256 | 79 | ||
Class B2, 1.8238% 10/25/36 (a)(g) | 167 | 49 | ||
Class B3, 3.0738% 10/25/36 (a)(g) | 300 | 67 | ||
Class M4, 0.9038% 10/25/36 (a)(g) | 256 | 111 | ||
Class M5, 0.9538% 10/25/36 (a)(g) | 326 | 130 | ||
Class M6, 1.0338% 10/25/36 (a)(g) | 632 | 237 | ||
Series 2006-4A: | ||||
Class B1, 1.1738% 12/25/36 (a)(g) | 100 | 20 | ||
Class B2, 1.7238% 12/25/36 (a)(g) | 96 | 44 | ||
Class B3, 2.9238% 12/25/36 (a)(g) | 178 | 78 | ||
Series 2007-1: | ||||
Class B1, 1.1438% 3/25/37 (a)(g) | 148 | 52 | ||
Class B2, 1.6238% 3/25/37 (a)(g) | 108 | 34 | ||
Class B3, 3.8238% 3/25/37 (a)(g) | 308 | 90 | ||
Class M1, 0.7438% 3/25/37 (a)(g) | 124 | 67 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2007-1: | ||||
Class M2, 0.7638% 3/25/37 (a)(g) | $ 96 | $ 50 | ||
Class M3, 0.7938% 3/25/37 (a)(g) | 84 | 42 | ||
Class M4, 0.8438% 3/25/37 (a)(g) | 64 | 31 | ||
Class M5, 0.8938% 3/25/37 (a)(g) | 104 | 47 | ||
Class M6, 0.9738% 3/25/37 (a)(g) | 148 | 59 | ||
Series 2007-2A: | ||||
Class B1, 2.0738% 7/25/37 (a)(g) | 115 | 37 | ||
Class B2, 2.7238% 7/25/37 (a)(g) | 98 | 30 | ||
Class B3, 3.8238% 7/25/37 (a)(g) | 111 | 33 | ||
Class M4, 1.1238% 7/25/37 (a)(g) | 142 | 59 | ||
Class M5, 1.2238% 7/25/37 (a)(g) | 129 | 51 | ||
Class M6, 1.4738% 7/25/37 (a)(g) | 160 | 59 | ||
Series 2007-3: | ||||
Class B1, 1.4238% 7/25/37 (a)(g) | 100 | 48 | ||
Class B2, 2.0738% 7/25/37 (a)(g) | 263 | 125 | ||
Class B3, 4.4738% 7/25/37 (a)(g) | 136 | 62 | ||
Class M1, 0.7838% 7/25/37 (a)(g) | 89 | 52 | ||
Class M2, 0.8138% 7/25/37 (a)(g) | 93 | 52 | ||
Class M3, 0.8438% 7/25/37 (a)(g) | 150 | 79 | ||
Class M4, 0.9738% 7/25/37 (a)(g) | 239 | 125 | ||
Class M5, 1.0738% 7/25/37 (a)(g) | 120 | 61 | ||
Class M6, 1.2738% 7/25/37 (a)(g) | 93 | 47 | ||
Series 2007-4A: | ||||
Class B1, 3.0238% 9/25/37 (a)(g) | 136 | 43 | ||
Class B2, 3.9238% 9/25/37 (a)(g) | 504 | 148 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.908% 5/15/35 (a)(g)(h) | 26,920 | 1,063 | ||
Chase Commercial Mortgage Securities Corp. Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 1,110 | 1,072 | ||
Class F, 7.734% 1/15/32 | 600 | 575 | ||
Credit Suisse Commercial Mortgage Trust sequential payer: | ||||
Series 2007-C2 Class A1, 5.269% 1/15/49 | 564 | 550 | ||
Series 2007-C3 Class A1, 5.664% 6/15/39 (g) | 652 | 638 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2006-TF2A: | ||||
Class A2, 1.9613% 7/15/19 (a)(g) | 175 | 35 | ||
Class SHDC, 1.4613% 7/15/19 (a)(g) | 84 | 21 | ||
Series 2006-TFL2 Class SHDD, 1.8113% 7/15/19 (a)(g) | 47 | 10 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Credit Suisse Mortgage Capital Certificates sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40 | $ 684 | $ 668 | ||
GS Mortgage Securities Corp. II floater Series 2007-EOP: | ||||
Class C, 0.765% 3/6/20 (a)(g) | 780 | 499 | ||
Class D, 0.815% 3/6/20 (a)(g) | 235 | 150 | ||
Class F, 0.925% 3/6/20 (a)(g) | 195 | 119 | ||
Class G, 0.965% 3/6/20 (a)(g) | 95 | 57 | ||
Class H, 1.095% 3/6/20 (a)(g) | 160 | 96 | ||
Class J, 1.295% 3/6/20 (a)(g) | 230 | 131 | ||
GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A1, 5.69% 8/10/45 | 1,110 | 883 | ||
JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 633 | 614 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 402 | 393 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (g) | 568 | 555 | ||
Series 2007-C2 Class A1, 5.226% 2/15/40 | 514 | 502 | ||
Series 2004-C2 Class XCP, 0.8376% 3/15/36 (a)(g)(h) | 62,797 | 1,229 | ||
Series 2007-C1 Class XCP, 0.4751% 2/15/40 (g)(h) | 14,259 | 227 | ||
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer: | ||||
Series 2007-5 Class A1, 4.275% 12/12/11 | 479 | 460 | ||
Series 2007-6 Class A1, 5.175% 3/12/51 | 564 | 549 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $28,796) | 21,014 |
Cash Equivalents - 3.0% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # | $ 30,806 | $ 30,805 | |
TOTAL INVESTMENT PORTFOLIO - 142.6% (Cost $1,501,847) | 1,466,639 | ||
NET OTHER ASSETS - (42.6)% | (438,062) | ||
NET ASSETS - 100% | $ 1,028,577 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Sold | |||||
Treasury Contracts | |||||
48 CBOT 2 Year U.S. Treasury Notes Index Contracts | July 2009 | $ 10,397 | $ (5) |
|
The face value of futures sold as a percentage of net assets - 1% |
Swap Agreements | |||||
|
| Notional Amount (000s) | Value (000s) | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 2.22% and pay JPMorgan Chase, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2005-HE3 Class B2, 6.87% 7/25/35 (Rating-Caa2) (f) | August 2035 | $ 1,000 | $ (938) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 2.5425% with Credit Suisse First Boston | Jan. 2019 | $ 530 | $ 35 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.41% with Credit Suisse First Boston | Sept. 2010 | 57,000 | (2,329) | ||
TOTAL INTEREST RATE SWAPS | 57,530 | (2,294) | |||
| $ 58,530 | $ (3,232) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $19,559,000 or 1.9% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) A portion of the security is subject to a forward commitment to sell. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $133,000. |
(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $3,915,000. |
(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
* Amount represents less than $1,000. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$30,805,000 due 3/02/09 at 0.26% | |
Goldman, Sachs & Co. | $ 12,079 |
UBS Securities LLC | 18,726 |
| $ 30,805 |
Other Information |
The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 1,466,639 | $ - | $ 1,443,311 | $ 23,328 |
Other Financial Instruments* | $ (3,467) | $ (5) | $ (2,524) | $ (938) |
* Other financial instruments include Futures Contracts, Swap Agreements and Forward Commitments. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
(Amounts in thousands) | Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 2,301 | $ (804) |
Total Realized Gain (Loss) | 71 | - * |
Total Unrealized Gain (Loss) | (10,087) | 756 |
Cost of Purchases | 9,218 | - |
Proceeds of Sales | (3,511) | - |
Amortization/Accretion | (1,753) | - |
Transfer in/out of Level 3 | 27,089 | (890) |
Ending Balance | $ 23,328 | $ (938) |
* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(897,000). |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Income Tax Information |
At August 31, 2008, the fund had a capital loss carryforward of approximately $34,825,000 of which $2,470,000, $14,312,000, $3,550,000 and $14,493,000 will expire on August 31, 2013, 2014, 2015 and 2016, respectively. |
The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $107,093,000 of losses recognized during the period November 1, 2007 to August 31, 2008. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $30,805) - See accompanying schedule: Unaffiliated issuers (cost $1,501,847) |
| $ 1,466,639 |
Commitment to sell securities on a delayed delivery basis | $ (303,051) | |
Receivable for securities sold on a delayed delivery basis | 302,821 | (230) |
Receivable for investments sold, regular delivery | 23,417 | |
Cash | 8 | |
Receivable for swap agreements | 4 | |
Receivable for fund shares sold | 593 | |
Interest receivable | 5,483 | |
Other receivables | 114 | |
Unrealized appreciation on swap agreements | 35 | |
Total assets | 1,496,063 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 601 | |
Delayed delivery | 460,377 | |
Payable for swap agreements | 920 | |
Payable for fund shares redeemed | 1,345 | |
Distributions payable | 389 | |
Unrealized depreciation on swap agreements | 3,267 | |
Accrued management fee | 277 | |
Distribution fees payable | 50 | |
Payable for daily variation on futures contracts | 16 | |
Other affiliated payables | 128 | |
Other payables and accrued expenses | 116 | |
Total liabilities | 467,486 | |
|
|
|
Net Assets | $ 1,028,577 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,204,419 | |
Distributions in excess of net investment income | (6,099) | |
Accumulated undistributed net realized gain (loss) on investments | (131,068) | |
Net unrealized appreciation (depreciation) on investments | (38,675) | |
Net Assets | $ 1,028,577 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | February 28, 2009 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($44,431 ÷ 4,438 shares) | $ 10.01 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.01) | $ 10.43 | |
Class T: | $ 10.03 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.03) | $ 10.45 | |
Class B: | $ 10.01 | |
|
|
|
Class C: | $ 10.00 | |
|
|
|
Fidelity Mortgage Securities Fund: | $ 10.03 | |
|
|
|
Institutional Class: | $ 10.00 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended February 28, 2009 (Unaudited) | |
|
|
|
Investment Income |
|
|
Interest |
| $ 29,298 |
|
|
|
Expenses | ||
Management fee | $ 1,750 | |
Transfer agent fees | 645 | |
Distribution fees | 309 | |
Fund wide operations fee | 162 | |
Independent trustees' compensation | 2 | |
Miscellaneous | 5 | |
Total expenses before reductions | 2,873 | |
Expense reductions | (1) | 2,872 |
Net investment income | 26,426 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 11,233 | |
Futures contracts | (539) | |
Swap agreements | (781) |
|
Total net realized gain (loss) |
| 9,913 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (17,972) | |
Futures contracts | 99 | |
Swap agreements | (1,225) | |
Delayed delivery commitments | 1,326 |
|
Total change in net unrealized appreciation (depreciation) |
| (17,772) |
Net gain (loss) | (7,859) | |
Net increase (decrease) in net assets resulting from operations | $ 18,567 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 26,426 | $ 65,979 |
Net realized gain (loss) | 9,913 | (102,798) |
Change in net unrealized appreciation (depreciation) | (17,772) | 41,977 |
Net increase (decrease) in net assets resulting from operations | 18,567 | 5,158 |
Distributions to shareholders from net investment income | (27,059) | (68,876) |
Share transactions - net increase (decrease) | (146,241) | (404,510) |
Total increase (decrease) in net assets | (154,733) | (468,228) |
|
|
|
Net Assets | ||
Beginning of period | 1,183,310 | 1,651,538 |
End of period (including distributions in excess of net investment income of $6,099 and distributions in excess of net investment income of $5,466, respectively) | $ 1,028,577 | $ 1,183,310 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.33 | $ 11.30 | $ 11.26 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .226 | .467 | .521 | .404 | .408 | .365 | .282 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.401) | (.021) | (.267) | .181 | .112 |
Total from investment operations | .153 | .006 | .120 | .383 | .141 | .546 | .394 |
Distributions from net investment income | (.233) | (.486) | (.520) | (.403) | (.421) | (.366) | (.274) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.233) | (.486) | (.520) | (.403) | (.481) | (.516) | (.354) |
Net asset value, end of period | $ 10.01 | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.33 | $ 11.30 |
Total Return B, C, D | 1.54% | .06% | 1.04% | 3.56% | 1.26% | 4.97% | 3.56% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | .86% A | .85% | .79% | .74% A | .82% | .86% | .81% |
Expenses net of fee waivers, if any | .86% A | .85% | .79% | .74% A | .82% | .86% | .81% |
Expenses net of all reductions | .86% A | .85% | .78% | .74% A | .82% | .86% | .81% |
Net investment income | 4.54% A | 4.52% | 4.77% | 4.44% A | 3.65% | 3.24% | 2.51% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 44 | $ 39 | $ 54 | $ 54 | $ 50 | $ 55 | $ 69 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class T
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.00 | $ 11.34 | $ 11.31 | $ 11.28 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .227 | .470 | .519 | .399 | .400 | .353 | .270 |
Net realized and unrealized gain (loss) | (.074) | (.462) | (.403) | (.012) | (.268) | .181 | .101 |
Total from investment operations | .153 | .008 | .116 | .387 | .132 | .534 | .371 |
Distributions from net investment income | (.233) | (.488) | (.516) | (.397) | (.412) | (.354) | (.261) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.233) | (.488) | (.516) | (.397) | (.472) | (.504) | (.341) |
Net asset value, end of period | $ 10.03 | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.00 | $ 11.34 | $ 11.31 |
Total Return B, C, D | 1.54% | .07% | 1.01% | 3.59% | 1.18% | 4.86% | 3.34% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Expenses net of fee waivers, if any | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Expenses net of all reductions | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Net investment income | 4.54% A | 4.53% | 4.73% | 4.37% A | 3.57% | 3.14% | 2.39% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 39 | $ 41 | $ 68 | $ 89 | $ 126 | $ 131 | $ 155 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class B
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .194 | .400 | .443 | .336 | .323 | .278 | .197 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.401) | (.022) | (.257) | .172 | .112 |
Total from investment operations | .121 | (.061) | .042 | .314 | .066 | .450 | .309 |
Distributions from net investment income | (.201) | (.419) | (.442) | (.334) | (.336) | (.280) | (.189) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.201) | (.419) | (.442) | (.334) | (.396) | (.430) | (.269) |
Net asset value, end of period | $ 10.01 | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 |
Total Return B, C, D | 1.21% | (.58)% | .32% | 2.91% | .58% | 4.08% | 2.78% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Expenses net of fee waivers, if any | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Expenses net of all reductions | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Net investment income | 3.89% A | 3.86% | 4.05% | 3.68% A | 2.89% | 2.48% | 1.75% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 25 | $ 32 | $ 50 | $ 74 | $ 101 | $ 134 | $ 182 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class C
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.08 | $ 10.56 | $ 10.96 | $ 10.98 | $ 11.31 | $ 11.29 | $ 11.25 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .188 | .389 | .434 | .328 | .316 | .273 | .189 |
Net realized and unrealized gain (loss) | (.072) | (.459) | (.401) | (.021) | (.257) | .172 | .112 |
Total from investment operations | .116 | (.070) | .033 | .307 | .059 | .445 | .301 |
Distributions from net investment income | (.196) | (.410) | (.433) | (.327) | (.329) | (.275) | (.181) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.196) | (.410) | (.433) | (.327) | (.389) | (.425) | (.261) |
Net asset value, end of period | $ 10.00 | $ 10.08 | $ 10.56 | $ 10.96 | $ 10.98 | $ 11.31 | $ 11.29 |
Total Return B, C, D | 1.17% | (.68)% | .25% | 2.85% | .52% | 4.04% | 2.71% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Expenses net of fee waivers, if any | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Expenses net of all reductions | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Net investment income | 3.79% A | 3.77% | 3.97% | 3.61% A | 2.82% | 2.42% | 1.68% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 16 | $ 15 | $ 23 | $ 31 | $ 41 | $ 58 | $ 99 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Fidelity Mortgage Securities Fund
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 E | 2005 G | 2004 G | 2003 G | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .247 | .509 | .559 | .432 | .438 | .390 | .306 |
Net realized and unrealized gain (loss) | (.074) | (.462) | (.403) | (.023) | (.257) | .183 | .102 |
Total from investment operations | .173 | .047 | .156 | .409 | .181 | .573 | .408 |
Distributions from net investment income | (.253) | (.527) | (.556) | (.429) | (.451) | (.393) | (.298) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.253) | (.527) | (.556) | (.429) | (.511) | (.543) | (.378) |
Net asset value, end of period | $ 10.03 | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 |
Total Return B, C | 1.74% | .46% | 1.38% | 3.80% | 1.61% | 5.21% | 3.68% |
Ratios to Average Net Assets F |
|
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Net investment income | 4.94% A | 4.91% | 5.10% | 4.73% A | 3.91% | 3.48% | 2.72% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 896 | $ 1,049 | $ 1,446 | $ 1,612 | $ 1,807 | $ 1,525 | $ 1,302 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. G For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 E | 2005 G | 2004 G | 2003 G | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.08 | $ 10.56 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .242 | .499 | .548 | .424 | .432 | .387 | .302 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.411) | (.011) | (.266) | .182 | .112 |
Total from investment operations | .169 | .038 | .137 | .413 | .166 | .569 | .414 |
Distributions from net investment income | (.249) | (.518) | (.547) | (.423) | (.446) | (.389) | (.294) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.249) | (.518) | (.547) | (.423) | (.506) | (.539) | (.374) |
Net asset value, end of period | $ 10.00 | $ 10.08 | $ 10.56 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 |
Total Return B, C | 1.71% | .37% | 1.20% | 3.85% | 1.48% | 5.19% | 3.75% |
Ratios to Average Net Assets F |
|
|
|
|
|
|
|
Expenses before reductions | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Expenses net of fee waivers, if any | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Expenses net of all reductions | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Net investment income | 4.87% A | 4.83% | 5.02% | 4.66% A | 3.87% | 3.45% | 2.69% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 8 | $ 7 | $ 10 | $ 14 | $ 16 | $ 13 | $ 16 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. G For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2009 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Fidelity Mortgage Securities Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Security Valuation - continued
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 26,595 |
Unrealized depreciation | (61,807) |
Net unrealized appreciation (depreciation) | $ (35,212) |
Cost for federal income tax purposes | $ 1,501,851 |
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Operating Policies - continued
Swap Agreements - continued
losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event
Semiannual Report
3. Operating Policies - continued
Swap Agreements - continued
may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $1,000 representing 0.0% of net assets.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $31,179 and $51,239, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20%
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 53 | $ 4 |
Class T | 0% | .25% | 51 | 1 |
Class B | .65% | .25% | 127 | 92 |
Class C | .75% | .25% | 78 | 5 |
|
|
| $ 309 | $ 102 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 2 |
Class T | 1 |
Class B* | 20 |
Class C* | 2 |
| $ 25 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
| Amount | % of |
Class A | $ 53 | .25 |
Class T | 51 | .25 |
Class B | 35 | .25 |
Class C | 19 | .25 |
Fidelity Mortgage Securities Fund | 479 | .10 |
Institutional Class | 8 | .18 |
| $ 645 |
|
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $1.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 988 | $ 2,205 |
Class T | 944 | 2,500 |
Class B | 559 | 1,654 |
Class C | 305 | 733 |
Fidelity Mortgage Securities Fund | 24,054 | 61,360 |
Institutional Class | 209 | 424 |
Total | $ 27,059 | $ 68,876 |
9. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class A |
|
|
|
|
Shares sold | 1,323 | 1,233 | $ 13,269 | $ 12,720 |
Reinvestment of distributions | 82 | 189 | 825 | 1,952 |
Shares redeemed | (853) | (2,645) | (8,577) | (27,288) |
Net increase (decrease) | 552 | (1,223) | $ 5,517 | $ (12,616) |
Class T |
|
|
|
|
Shares sold | 756 | 652 | $ 7,676 | $ 6,745 |
Reinvestment of distributions | 88 | 227 | 881 | 2,348 |
Shares redeemed | (945) | (3,306) | (9,499) | (34,313) |
Net increase (decrease) | (101) | (2,427) | $ (942) | $ (25,220) |
Class B |
|
|
|
|
Shares sold | 114 | 74 | $ 1,147 | $ 761 |
Reinvestment of distributions | 47 | 133 | 470 | 1,376 |
Shares redeemed | (812) | (1,820) | (8,157) | (18,803) |
Net increase (decrease) | (651) | (1,613) | $ (6,540) | $ (16,666) |
Semiannual Report
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class C |
|
|
|
|
Shares sold | 418 | 130 | $ 4,222 | $ 1,330 |
Reinvestment of distributions | 24 | 57 | 235 | 589 |
Shares redeemed | (314) | (838) | (3,153) | (8,656) |
Net increase (decrease) | 128 | (651) | $ 1,304 | $ (6,737) |
Fidelity Mortgage Securities Fund |
|
|
|
|
Shares sold | 6,701 | 12,801 | $ 67,565 | $ 131,962 |
Reinvestment of distributions | 2,218 | 5,511 | 22,222 | 57,031 |
Shares redeemed | (23,384) | (51,088) | (235,660) | (529,926) |
Net increase (decrease) | (14,465) | (32,776) | $ (145,873) | $ (340,933) |
Institutional Class |
|
|
|
|
Shares sold | 391 | 224 | $ 3,934 | $ 2,294 |
Reinvestment of distributions | 15 | 32 | 149 | 335 |
Shares redeemed | (378) | (482) | (3,790) | (4,967) |
Net increase (decrease) | 28 | (226) | $ 293 | $ (2,338) |
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money Management, Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan), Inc.
Fidelity Research & Analysis Company
FIL Investment Advisors
FIL Investment Advisors
(U.K.) Ltd.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
AMOR-USAN-0409 1.784898.106
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Mortgage Securities
Fund - Institutional Class
Semiannual Report
February 28, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
|
|
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .86% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,015.40 | $ 4.30 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.53 | $ 4.31 |
Class T | .86% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,015.40 | $ 4.30 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.53 | $ 4.31 |
Class B | 1.51% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,012.10 | $ 7.53 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.31 | $ 7.55 |
Class C | 1.61% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,011.70 | $ 8.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.81 | $ 8.05 |
Fidelity Mortgage Securities Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,017.40 | $ 2.25 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | .53% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,017.10 | $ 2.65 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.17 | $ 2.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Coupon Distribution as of February 28, 2009 | ||
| % of fund's investments | % of fund's investments |
Less than 4% | 5.6 | 5.2 |
4 - 4.99% | 6.5 | 7.7 |
5 - 5.99% | 45.2 | 44.9 |
6 - 6.99% | 35.3 | 30.8 |
7% and over | 5.2 | 4.9 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of February 28, 2009 | ||
|
| 6 months ago |
Years | 3.5 | 5.2 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of February 28, 2009 | ||
|
| 6 months ago |
Years | 2.1 | 4.3 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2009 * | As of August 31, 2008 ** | ||||||
![]() | Mortgage |
| ![]() | Mortgage |
| ||
![]() | CMOs and |
| ![]() | CMOs and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 0.7% |
| ** Foreign investments | 1.3% |
| ||
* Futures and Swaps | (4.4)% |
| ** Futures and Swaps | (8.8)% |
|
† Short-Term Investments and Net Other Assets are not included in the pie chart. |
Semiannual Report
Investments February 28, 2009 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 115.1% | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - 67.1% | ||||
3.575% 1/1/32 (g) | $ 144 | $ 144 | ||
4.162% 1/1/35 (g) | 1,899 | 1,921 | ||
4.303% 3/1/33 (g) | 86 | 87 | ||
4.328% 1/1/35 (g) | 2,246 | 2,261 | ||
4.34% 1/1/35 (g) | 210 | 213 | ||
4.423% 5/1/35 (g) | 129 | 130 | ||
4.432% 3/1/35 (g) | 303 | 308 | ||
4.456% 7/1/35 (g) | 931 | 926 | ||
4.5% 10/1/19 to 9/1/31 (c) | 22,840 | 23,194 | ||
4.5% 3/12/39 (b)(c) | 12,000 | 12,032 | ||
4.548% 10/1/33 (g) | 135 | 136 | ||
4.55% 10/1/35 (g) | 1,179 | 1,195 | ||
4.583% 8/1/34 (g) | 473 | 479 | ||
4.667% 7/1/35 (g) | 173 | 176 | ||
4.7% 2/1/35 (g) | 1,001 | 1,018 | ||
4.739% 8/1/35 (g) | 741 | 752 | ||
4.742% 12/1/34 (g) | 170 | 172 | ||
4.747% 4/1/35 (g) | 65 | 66 | ||
4.752% 10/1/35 (g) | 2,636 | 2,674 | ||
4.823% 12/1/35 (g) | 1,812 | 1,836 | ||
4.846% 4/1/33 (g) | 1,653 | 1,676 | ||
4.87% 7/1/35 (g) | 1,060 | 1,087 | ||
4.933% 1/1/35 (g) | 537 | 544 | ||
4.933% 7/1/35 (g) | 45 | 47 | ||
4.987% 7/1/35 (g) | 3,088 | 3,141 | ||
5% 9/1/16 to 7/1/38 (c)(e) | 90,595 | 92,538 | ||
5% 3/12/39 (b) | 9,000 | 9,156 | ||
5.048% 1/1/37 (g) | 1,270 | 1,297 | ||
5.095% 7/1/34 (g) | 357 | 359 | ||
5.141% 5/1/35 (g) | 124 | 126 | ||
5.16% 10/1/18 (g) | 77 | 78 | ||
5.174% 8/1/34 (g) | 1,053 | 1,071 | ||
5.198% 3/1/35 (g) | 110 | 110 | ||
5.265% 12/1/36 (g) | 543 | 555 | ||
5.307% 7/1/35 (g) | 760 | 786 | ||
5.328% 6/1/36 (g) | 1,818 | 1,886 | ||
5.336% 7/1/35 (g) | 436 | 446 | ||
5.342% 2/1/37 (g) | 561 | 575 | ||
5.481% 6/1/32 (g) | 341 | 343 | ||
5.5% 6/1/11 to 5/1/38 (c) | 97,371 | 100,354 | ||
5.5% 3/17/24 (b) | 2,000 | 2,073 | ||
5.5% 3/17/24 (b) | 2,000 | 2,073 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
5.5% 3/17/24 (b) | $ 6,800 | $ 7,050 | ||
5.5% 3/12/39 (b) | 20,000 | 20,489 | ||
5.5% 3/12/39 (b) | 7,000 | 7,171 | ||
5.5% 3/12/39 (b)(c) | 50,500 | 51,734 | ||
5.5% 3/12/39 (b)(c) | 14,500 | 14,854 | ||
5.573% 10/1/36 (g) | 285 | 296 | ||
5.658% 6/1/36 (g) | 1,414 | 1,463 | ||
5.77% 3/1/36 (g) | 3,223 | 3,341 | ||
5.798% 1/1/36 (g) | 563 | 586 | ||
5.806% 11/1/36 (g) | 886 | 906 | ||
5.819% 9/1/36 (g) | 873 | 888 | ||
5.823% 7/1/36 (g) | 609 | 634 | ||
5.845% 3/1/36 (g) | 1,849 | 1,926 | ||
5.851% 3/1/36 (g) | 1,492 | 1,545 | ||
5.952% 4/1/36 (g) | 398 | 413 | ||
5.952% 9/1/36 (g) | 781 | 813 | ||
5.954% 5/1/36 (g) | 565 | 587 | ||
6% 3/1/09 to 11/1/37 (c) | 109,977 | 114,484 | ||
6% 9/1/36 (g) | 663 | 691 | ||
6% 3/12/39 (b)(c) | 18,000 | 18,594 | ||
6% 3/12/39 (b)(c) | 62,000 | 64,046 | ||
6.008% 4/1/36 (g) | 6,024 | 6,258 | ||
6.091% 9/1/36 (g) | 640 | 667 | ||
6.118% 4/1/36 (g) | 869 | 904 | ||
6.192% 2/1/35 (g) | 104 | 106 | ||
6.198% 5/1/37 (g) | 83 | 87 | ||
6.226% 5/1/36 (g) | 1,844 | 1,920 | ||
6.241% 6/1/36 (g) | 3,144 | 3,275 | ||
6.243% 6/1/36 (g) | 137 | 139 | ||
6.245% 8/1/46 (g) | 320 | 334 | ||
6.346% 5/1/36 (g) | 1,315 | 1,371 | ||
6.433% 4/1/37 (g) | 964 | 1,006 | ||
6.499% 12/1/36 (g) | 204 | 212 | ||
6.5% 5/1/12 to 9/1/47 (c) | 58,235 | 61,262 | ||
6.5% 3/12/39 (b) | 1,000 | 1,045 | ||
6.555% 12/1/36 (g) | 285 | 298 | ||
6.784% 9/1/37 (g) | 1,489 | 1,554 | ||
6.862% 9/1/37 (g) | 676 | 705 | ||
6.946% 9/1/37 (g) | 536 | 559 | ||
7% 12/1/15 to 7/1/37 | 9,014 | 9,597 | ||
7.075% 9/1/37 (g) | 720 | 752 | ||
7.5% 8/1/22 to 5/1/37 | 13,539 | 14,380 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
8% 12/1/29 to 3/1/37 | $ 176 | $ 186 | ||
8.5% 1/1/16 to 7/1/31 | 218 | 236 | ||
9% 2/1/13 to 10/1/30 | 536 | 583 | ||
9.5% 11/1/09 to 8/1/22 | 80 | 88 | ||
11% 8/1/10 | 9 | 9 | ||
12.25% 5/1/15 | 14 | 16 | ||
12.5% 8/1/15 to 3/1/16 | 17 | 20 | ||
12.75% 2/1/15 | 4 | 4 | ||
13.5% 9/1/14 | 3 | 4 | ||
| 690,129 | |||
Freddie Mac - 36.0% | ||||
3.456% 2/1/34 (g) | 166 | 166 | ||
3.741% 5/1/34 (g) | 31 | 32 | ||
4.275% 6/1/35 (g) | 283 | 287 | ||
4.315% 12/1/34 (g) | 229 | 233 | ||
4.329% 11/1/31 (g) | 62 | 62 | ||
4.407% 3/1/35 (g) | 286 | 290 | ||
4.471% 3/1/35 (g) | 256 | 259 | ||
4.546% 3/1/34 (g) | 2,392 | 2,422 | ||
4.569% 12/1/33 (g) | 1,036 | 1,044 | ||
4.58% 6/1/33 (g) | 2,020 | 2,062 | ||
4.709% 11/1/35 (g) | 935 | 947 | ||
4.789% 2/1/36 (g) | 254 | 260 | ||
4.801% 3/1/35 (g) | 499 | 504 | ||
5% 6/1/18 to 6/1/38 (c) | 35,899 | 36,599 | ||
5% 3/12/39 (b) | 2,000 | 2,032 | ||
5% 3/12/39 (b) | 5,000 | 5,079 | ||
5.023% 4/1/35 (g) | 140 | 144 | ||
5.158% 10/1/33 (g) | 1,647 | 1,674 | ||
5.288% 3/1/35 (g) | 174 | 175 | ||
5.443% 4/1/37 (g) | 365 | 374 | ||
5.5% 6/1/09 to 1/1/38 | 42,700 | 43,987 | ||
5.5% 3/12/39 (b) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 23,000 | 23,557 | ||
5.5% 4/13/39 (b) | 23,000 | 23,495 | ||
5.5% 4/13/39 (b) | 18,000 | 18,388 | ||
5.5% 4/13/39 (b) | 18,000 | 18,387 | ||
5.548% 1/1/37 (g) | 1,842 | 1,886 | ||
5.694% 10/1/35 (g) | 246 | 257 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Freddie Mac - continued | ||||
5.757% 3/1/37 (g) | $ 1,966 | $ 1,994 | ||
5.78% 4/1/37 (g) | 1,896 | 1,944 | ||
5.812% 6/1/37 (g) | 1,532 | 1,588 | ||
5.834% 5/1/37 (g) | 585 | 599 | ||
5.948% 4/1/36 (g) | 1,277 | 1,322 | ||
6% 4/1/14 to 7/1/37 | 38,372 | 40,064 | ||
6% 3/1/39 (b) | 8,500 | 8,799 | ||
6.006% 6/1/36 (g) | 576 | 598 | ||
6.098% 4/1/37 (g) | 596 | 621 | ||
6.139% 10/1/36 (g) | 130 | 136 | ||
6.142% 12/1/36 (g) | 877 | 912 | ||
6.169% 7/1/36 (g) | 3,267 | 3,392 | ||
6.181% 5/1/36 (g) | 545 | 565 | ||
6.228% 3/1/36 (g) | 2,926 | 3,049 | ||
6.303% 7/1/36 (g) | 587 | 609 | ||
6.362% 10/1/36 (g) | 3,289 | 3,425 | ||
6.416% 12/1/36 (g) | 1,587 | 1,654 | ||
6.418% 6/1/37 (g) | 167 | 174 | ||
6.5% 4/1/11 to 8/1/47 | 26,126 | 27,474 | ||
6.581% 12/1/36 (g) | 3,755 | 3,918 | ||
6.594% 1/1/37 (g) | 1,853 | 1,934 | ||
6.619% 6/1/37 (g) | 187 | 195 | ||
6.625% 7/1/36 (g) | 2,758 | 2,878 | ||
6.644% 6/1/36 (g) | 389 | 406 | ||
6.65% 8/1/37 (g) | 1,169 | 1,217 | ||
6.837% 10/1/36 (g) | 2,346 | 2,447 | ||
7% 6/1/21 to 9/1/36 | 6,264 | 6,648 | ||
7.128% 2/1/37 (g) | 256 | 267 | ||
7.5% 11/1/10 to 4/1/37 | 10,442 | 11,061 | ||
7.524% 4/1/37 (g) | 122 | 127 | ||
8% 11/1/16 to 1/1/37 | 245 | 258 | ||
8.5% 7/1/09 to 9/1/20 | 25 | 27 | ||
9% 7/1/13 to 5/1/21 | 206 | 222 | ||
10% 6/1/09 to 5/1/19 | 40 | 43 | ||
10.5% 8/1/10 to 2/1/16 | 3 | 3 | ||
12.5% 10/1/12 to 12/1/14 | 27 | 29 | ||
13% 12/1/13 to 6/1/15 | 60 | 68 | ||
| 370,577 | |||
Government National Mortgage Association - 12.0% | ||||
4.5% 3/18/39 (b) | 12,000 | 12,045 | ||
5% 1/20/33 to 2/20/39 | 9,988 | 10,205 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Government National Mortgage Association - continued | ||||
5.5% 3/18/39 (b) | $ 13,000 | $ 13,331 | ||
5.5% 3/18/39 (b) | 1,000 | 1,027 | ||
5.5% 3/18/39 (b) | 18,000 | 18,458 | ||
5.5% 3/18/39 (b) | 300 | 308 | ||
5.5% 3/18/39 (b) | 14,000 | 14,379 | ||
5.5% 3/18/39 (b) | 4,000 | 4,102 | ||
5.5% 3/18/39 (b) | 3,000 | 3,076 | ||
6% 1/15/36 | 7,770 | 8,075 | ||
6% 3/18/39 (b) | 10,000 | 10,327 | ||
6% 3/18/39 (b) | 14,000 | 14,457 | ||
6.5% 5/15/28 to 7/15/36 | 7,158 | 7,526 | ||
7% 2/15/24 to 7/15/32 | 3,335 | 3,542 | ||
7.5% 9/15/16 to 4/15/32 | 1,142 | 1,202 | ||
8% 6/15/21 to 12/15/25 | 451 | 480 | ||
8.5% 8/15/16 to 10/15/28 | 638 | 691 | ||
9% 11/20/17 | 2 | 2 | ||
10.5% 12/20/15 to 2/20/18 | 56 | 64 | ||
13.5% 7/15/11 | 2 | 2 | ||
| 123,299 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,164,697) | 1,184,005 | |||
Asset-Backed Securities - 4.8% | ||||
| ||||
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class A2A, 0.5238% 10/25/36 (g) | 158 | 153 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2005-R10 Class A2B, 0.6938% 12/25/35 (g) | 522 | 358 | ||
Argent Securities, Inc. Series 2006-M2 Class A2A, 0.5238% 9/25/36 (g) | 197 | 195 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2005-AQ2 Class M7, 2.1238% 9/25/35 (g) | 335 | 1 | ||
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (g) | 600 | 273 | ||
Series 2006-HE1 Class 1A2, 0.6938% 12/25/35 (g) | 3,574 | 2,853 | ||
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (g) | 565 | 432 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (g) | 306 | 263 | ||
Capital Auto Receivables Asset Trust Series 2007-SN1 Class D, 6.05% 1/17/12 | 970 | 485 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2006-HE2 Class A2A, 0.5238% 8/26/36 (g) | 13 | 13 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Citigroup Mortgage Loan Trust: - continued | ||||
Series 2006-NC2 Class A2A, 0.5138% 9/25/36 (g) | $ 51 | $ 50 | ||
Series 2006-WF2 Class A2B, 5.735% 5/25/36 | 255 | 250 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2006-13 Class 1AF1, 0.5938% 1/25/37 (g) | 49 | 46 | ||
Series 2007-11 Class 2A1, 0.5338% 6/25/47 (g) | 4,178 | 3,708 | ||
Series 2007-4 Class A1A, 0.5938% 9/25/37 (g) | 3,346 | 3,020 | ||
Series 2007-5 Class 2A1, 0.5738% 4/25/29 (g) | 2,080 | 1,800 | ||
Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (g) | 629 | 536 | ||
First Franklin Mortgage Loan Trust Series 2006-FF5 Class 2A2, 0.5838% 4/25/36 (g) | 354 | 324 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-C Class D, 6.89% 5/15/13 (a) | 715 | 356 | ||
Series 2007-A Class D, 7.05% 12/15/13 (a) | 350 | 175 | ||
Fremont Home Loan Trust Series 2006-3 Class 2A1, 0.5438% 2/25/37 (g) | 12 | 11 | ||
GSAMP Trust: | ||||
Series 2004-AR1 Class B4, 5% 6/25/34 (a)(g) | 160 | 13 | ||
Series 2004-AR2 Class B1, 2.3738% 8/25/34 (g) | 796 | 35 | ||
GSR Mortgage Loan Trust Series 2006-6 Class AV1, 0.4594% 3/25/36 (g) | 25 | 24 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (a)(g) | 2,325 | 1,186 | ||
Home Equity Asset Trust Series 2006-8 Class 2A1, 0.5238% 3/25/37 (g) | 42 | 36 | ||
JPMorgan Mortgage Acquisition Trust Series 2006-WF1: | ||||
Class A1A, 5.6% 7/25/36 | 25 | 25 | ||
Class A1B, 0.5738% 7/25/36 (g) | 199 | 196 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a) | 10,820 | 4,112 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2005-WL1 Class M2, 1.0238% 6/25/35 (g) | 1,785 | 1,005 | ||
Series 2006-2 Class 2A2, 0.6038% 3/25/36 (g) | 134 | 131 | ||
Series 2006-8 Class 2A1, 0.5138% 9/25/36 (g) | 196 | 185 | ||
Merrill Lynch Mortgage Investors Trust Series 2006-MLN1 Class A2A, 0.5438% 7/25/37 (g) | 402 | 369 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2005-3 Class A3, 0.8538% 8/25/35 (g) | 6,101 | 5,086 | ||
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (g) | 619 | 585 | ||
Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (g) | 70 | 57 | ||
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (g) | 70 | 47 | ||
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (g) | 43 | 34 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.5738% 4/25/37 (g) | $ 898 | $ 682 | ||
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (g) | 97 | 90 | ||
National Collegiate Student Loan Trust: | ||||
Series 2006-4 Class AIO, 6.35% 2/27/12 (h) | 4,205 | 570 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (h) | 6,370 | 1,041 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (h) | 4,540 | 717 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 0.9894% 11/1/52 (a)(g) | 5,000 | 600 | ||
Nomura Home Equity Loan Trust Series 2006-AF1 Class A1, 6.032% 10/25/36 | 162 | 141 | ||
NovaStar Mortgage Funding Trust Series 2006-6 Class A2A, 0.5438% 1/25/37 (g) | 130 | 120 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.87% 3/20/11 (a)(g) | 2,100 | 840 | ||
Option One Mortgage Loan Trust: | ||||
Series 2007-5 Class 2A1, 0.5638% 5/25/37 (g) | 242 | 215 | ||
Series 2007-6 Class 2A1, 0.5338% 7/25/37 (g) | 283 | 254 | ||
Ownit Mortgage Loan Trust Series 2006-6 Class A2A, 0.5338% 9/25/37 (g) | 417 | 395 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 0.5438% 9/25/36 (g) | 448 | 428 | ||
RAMP Trust Series 2006-RS4 Class A2, 0.5838% 7/25/36 (g) | 4,169 | 3,709 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 401 | 361 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (g) | 302 | 265 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 2.1938% 1/25/36 (g) | 500 | 13 | ||
Series 2006-FR4 Class A2A, 0.5538% 8/25/36 (g) | 351 | 218 | ||
Series 2007-NC1 Class A2A, 0.5238% 12/25/36 (g) | 234 | 185 | ||
Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36 | 50 | 50 | ||
Structured Asset Securities Corp.: | ||||
Series 2005-NC2 Class M3, 0.9038% 5/25/35 (g) | 1,995 | 632 | ||
Series 2007-BC4 Class A3, 0.6394% 11/25/37 (g) | 2,307 | 1,885 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (g) | 5,286 | 4,005 | ||
WaMu Asset Holdings Corp.: | ||||
Series 2006-5 Class N1, 5.926% 7/25/46 (a) | 1,148 | 0* | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
WaMu Asset Holdings Corp.: - continued | ||||
Series 2006-7 Class N1, 5.926% 10/25/46 (a) | $ 912 | $ 0* | ||
Series 2006-8 Class N1, 6.048% 10/25/46 (a) | 1,160 | 0* | ||
Wells Fargo Home Equity Trust: | ||||
Series 2006-2 Class A2, 0.5738% 7/25/36 (g) | 824 | 745 | ||
Series 2007-2 Class A1, 0.5638% 4/25/37 (g) | 3,683 | 3,038 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $76,470) | 49,627 | |||
Collateralized Mortgage Obligations - 17.6% | ||||
| ||||
Private Sponsor - 4.0% | ||||
American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (g) | 6,360 | 2,862 | ||
Arkle Master Issuer PLC floater Series 2006-1A Class 3C, 1.6275% 2/17/52 (a)(g) | 910 | 683 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-J Class 2A2, 5.2918% 11/25/33 (g) | 501 | 406 | ||
Series 2004-1 Class 2A2, 4.6723% 10/25/34 (g) | 1,697 | 1,321 | ||
Series 2004-A: | ||||
Class 2A1, 5.1951% 2/25/34 (g) | 339 | 276 | ||
Class 2A2, 5.1951% 2/25/34 (g) | 1,464 | 1,194 | ||
Series 2004-D Class 2A1, 3.6163% 5/25/34 (g) | 200 | 154 | ||
Series 2004-J Class 2A1, 4.7597% 11/25/34 (g) | 874 | 680 | ||
Series 2005-H: | ||||
Class 1A1, 5.3329% 9/25/35 (g) | 196 | 141 | ||
Class 2A2, 4.8028% 9/25/35 (g) | 1,877 | 605 | ||
Citigroup Mortgage Loan Trust Series 2006-AR7 Class 1A1, 5.7236% 11/25/36 (g) | 202 | 116 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 0.8738% 3/25/35 (g) | 69 | 29 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.3796% 1/28/32 (a)(g) | 229 | 110 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (g) | 2,047 | 1,575 | ||
Fosse Master Issuer PLC floater Series 2006-1A Class C2, 1.6125% 10/18/54 (a)(g) | 770 | 385 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (a)(g) | 1,675 | 783 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (a)(g) | 2,520 | 1,091 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 1.02% 12/20/54 (g) | $ 700 | $ 49 | ||
Series 2006-2 Class C1, 0.94% 12/20/54 (g) | 155 | 16 | ||
Series 2007-1: | ||||
Class 1C1, 0.77% 12/20/54 (g) | 940 | 94 | ||
Class 2C1, 0.9% 12/20/54 (g) | 500 | 50 | ||
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (g) | 1,355 | 136 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1B, 1.5925% 1/20/44 (g) | 661 | 231 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (g) | 897 | 617 | ||
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (a)(g) | 490 | 343 | ||
Luminent Mortgage Trust floater Series 2006-1 Class A1, 0.7138% 4/25/36 (g) | 2,570 | 1,022 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6838% 5/25/47 (g) | 1,000 | 483 | ||
MASTR Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18 | 2,773 | 2,325 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (g) | 4,062 | 1,706 | ||
Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 0.955% 6/15/22 (a)(g) | 4,998 | 3,074 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2004-A4 Class A1, 4.2286% 8/25/34 (g) | 2,947 | 2,254 | ||
Series 2006-A6 Class A4, 5.3897% 10/25/33 (g) | 2,506 | 2,042 | ||
Permanent Financing No. 4 PLC Class 3C, 2.9894% 6/10/42 (g) | 1,405 | 1,401 | ||
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (g) | 610 | 413 | ||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 715 | 632 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 82 | 71 | ||
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (g) | 1,597 | 1,297 | ||
Structured Asset Securities Corp.: | ||||
Series 2003-15A Class 4A, 5.4533% 4/25/33 (g) | 1,527 | 1,238 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 1,114 | 954 | ||
WaMu Mortgage pass-thru certificates: | ||||
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (g) | 395 | 391 | ||
Series 2005-AR16 Class 1A3, 5.102% 12/25/35 (g) | 2,065 | 1,173 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-W: | ||||
Class A1, 4.5429% 11/25/34 (g) | $ 1,495 | $ 1,193 | ||
Class A9, 4.5429% 11/25/34 (g) | 3,490 | 2,195 | ||
Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (g) | 907 | 693 | ||
Series 2005-AR2 Class 1A2, 4.6413% 3/25/35 (g) | 657 | 267 | ||
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (g) | 311 | 239 | ||
Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (g) | 3,448 | 2,466 | ||
TOTAL PRIVATE SPONSOR | 41,476 | |||
U.S. Government Agency - 13.6% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1994-23: | ||||
Class PX, 6% 8/25/23 | 3,448 | 3,584 | ||
Class PZ, 6% 2/25/24 | 2,687 | 2,731 | ||
Series 1999-15 Class PC, 6% 9/25/18 | 654 | 658 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 1,145 | 1,141 | ||
Series 1993-165 Class SH, 18.3855% 9/25/23 (g)(j) | 156 | 177 | ||
Series 1999-17 Class PG, 6% 4/25/29 | 5,442 | 5,677 | ||
Series 2003-22 Class IO, 6% 4/25/33 (h) | 4,081 | 400 | ||
Series 2003-26 Class KI, 5% 12/25/15 (h) | 1,554 | 50 | ||
Series 2003-39 Class IA, 5.5% 10/25/22 (g)(h) | 1,859 | 138 | ||
Series 2006-48 Class LF, 0% 8/25/34 (g)(j) | 14 | 14 | ||
Fannie Mae Stripped Mortgage-Backed Securities: | ||||
sequential payer Series 377 Class 1, 10/1/36 (i) | 3,691 | 3,237 | ||
Series 339 Class 29, 5.5% 7/1/18 (h) | 1,799 | 139 | ||
Series 348 Class 14, 6.5% 8/1/34 (h) | 864 | 119 | ||
Series 351: | ||||
Class 12, 5.5% 4/1/34 (h) | 650 | 65 | ||
Class 13, 6% 3/1/34 (h) | 828 | 98 | ||
Series 359, Class 19 6% 7/1/35 (h) | 838 | 97 | ||
Series 384 Class 6, 5% 7/25/37 (h) | 4,427 | 490 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-36 Class FG, 0.8738% 4/25/37 (g) | 3,035 | 2,969 | ||
Series 2007-57 Class FA, 0.7038% 6/25/37 (g) | 7,484 | 7,310 | ||
planned amortization class: | ||||
Series 1999-32 Class PL, 6% 7/25/29 | 3,902 | 4,068 | ||
Series 2001-52 Class YZ, 6.5% 10/25/31 | 211 | 221 | ||
Series 2001-63 Class TC, 6% 12/25/31 | 4,065 | 4,223 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
planned amortization class: | ||||
Series 2001-72 Class NZ, 6% 12/25/31 | $ 1,196 | $ 1,238 | ||
Series 2005-14 Class ME, 5% 10/25/33 | 1,785 | 1,801 | ||
Series 2005-39 Class TE, 5% 5/25/35 | 1,120 | 1,105 | ||
Series 2005-73 Class SA, 16.3183% 8/25/35 (g) | 912 | 976 | ||
sequential payer: | ||||
Series 2001-20 Class Z, 6% 5/25/31 | 4,621 | 4,790 | ||
Series 2001-31 Class ZC, 6.5% 7/25/31 | 1,615 | 1,695 | ||
Series 2002-16 Class ZD, 6.5% 4/25/32 | 710 | 741 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 2,208 | 2,246 | ||
Series 2003-80 Class CG, 6% 4/25/30 | 595 | 620 | ||
Series 2005-41 Class LA, 5.5% 5/25/35 | 3,179 | 3,281 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 2,596 | 2,702 | ||
Series 2001-63 Class PG, 6% 12/25/31 | 1,943 | 2,017 | ||
Series 2001-74 Class QE, 6% 12/25/31 | 1,846 | 1,916 | ||
Series 2003-21 Class SK, 7.6263% 3/25/33 (g)(h)(j) | 819 | 94 | ||
Series 2003-3 Class HS, 7.1763% 9/25/16 (g)(h)(j) | 49 | 1 | ||
Series 2003-35: | ||||
Class BS, 6.5263% 4/25/17 (g)(h)(j) | 547 | 19 | ||
Class TQ, 7.0263% 5/25/18 (g)(h) | 719 | 63 | ||
Series 2003-42: | ||||
Class HS, 6.6263% 12/25/17 (g)(h)(j) | 6,606 | 475 | ||
Class SJ, 6.5763% 11/25/22 (g)(h) | 923 | 75 | ||
Series 2003-48 Class HI, 5% 11/25/17 (h) | 2,691 | 198 | ||
Series 2004-54 Class SW, 5.5263% 6/25/33 (g)(h)(j) | 3,711 | 226 | ||
Series 2006-4 Class IT, 6% 10/25/35 (h) | 421 | 35 | ||
Series 2007-36: | ||||
Class GO, 4/25/37 (i) | 486 | 380 | ||
Class SG, 6.1263% 4/25/37 (g)(h)(j) | 6,302 | 544 | ||
Series 2007-57 Class SA, 37.7775% 6/25/37 (g)(j) | 4,712 | 6,318 | ||
Series 2007-66: | ||||
Class FB, 0.8738% 7/25/37 (g) | 1,995 | 1,960 | ||
Class SA, 36.7575% 7/25/37 (g)(j) | 3,111 | 3,929 | ||
Class SB, 36.7575% 7/25/37 (g)(j) | 937 | 1,264 | ||
Freddie Mac: | ||||
floater Series 3318: | ||||
Class CY, 0% 11/15/36 (g) | 186 | 183 | ||
Class GY, 0% 5/15/37 (g) | 216 | 210 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
planned amortization class: | ||||
Series 2095 Class PE, 6% 11/15/28 (e) | $ 4,890 | $ 5,074 | ||
Series 2104 Class PG, 6% 12/15/28 | 1,457 | 1,511 | ||
Series 2162 Class PH, 6% 6/15/29 | 332 | 346 | ||
Series 70 Class C, 9% 9/15/20 | 98 | 106 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 704 | 734 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 1,687 | 1,754 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2958 Class TF, 0% 4/15/35 (g) | 500 | 425 | ||
Series 3129 Class MF, 0% 7/15/34 (g) | 352 | 340 | ||
Series 3222 Class HF, 0% 9/15/36 (g) | 531 | 485 | ||
planned amortization class: | ||||
Series 2121 Class MG, 6% 2/15/29 | 1,907 | 1,988 | ||
Series 2131 Class BG, 6% 3/15/29 | 7,676 | 7,973 | ||
Series 2137 Class PG, 6% 3/15/29 | 1,845 | 1,913 | ||
Series 2154 Class PT, 6% 5/15/29 | 2,883 | 3,004 | ||
Series 2435 Class VG, 6% 2/15/13 | 655 | 675 | ||
Series 2488 Class PR, 6% 8/15/32 | 1,018 | 1,058 | ||
Series 2520 Class BE, 6% 11/15/32 | 1,970 | 2,050 | ||
Series 2585 Class KS, 7.145% 3/15/23 (g)(h)(j) | 471 | 33 | ||
Series 2590 Class YR, 5.5% 9/15/32 (h) | 135 | 18 | ||
Series 2802 Class OB, 6% 5/15/34 (d)(e) | 3,375 | 3,458 | ||
Series 2810 Class PD, 6% 6/15/33 | 2,540 | 2,649 | ||
Series 3077 Class TO, 4/15/35 (i) | 3,993 | 3,168 | ||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | 2,186 | 2,279 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 755 | 794 | ||
Series 2281 Class ZB, 6% 3/15/30 | 912 | 952 | ||
Series 2388 Class ZA, 6% 12/15/31 | 4,725 | 4,901 | ||
Series 2417 Class KZ, 6% 2/15/32 | 1,017 | 1,056 | ||
Series 2502 Class ZC, 6% 9/15/32 | 1,696 | 1,759 | ||
Series 2504 Class Z, 6% 9/15/32 | 1,469 | 1,528 | ||
Series 2564 Class ES, 7.145% 2/15/22 (g)(h)(j) | 757 | 49 | ||
Series 2575 Class ID, 5.5% 8/15/22 (h) | 127 | 11 | ||
Series 2750 Class ZT, 5% 2/15/34 | 2,785 | 2,645 | ||
Series 2817 Class SD, 6.595% 7/15/30 (g)(h)(j) | 1,383 | 89 | ||
Series 3097 Class IA, 5.5% 3/15/33 (h) | 3,677 | 308 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 1658 Class GZ, 7% 1/15/24 | $ 2,111 | $ 2,183 | ||
Series 2587 Class IM, 6.5% 3/15/33 (h) | 1,373 | 176 | ||
Series 2844: | ||||
Class SC, 43.8425% 8/15/24 (g)(j) | 97 | 135 | ||
Class SD, 80.535% 8/15/24 (g)(j) | 141 | 300 | ||
Series 2957 Class SW, 5.545% 4/15/35 (g)(h) | 5,713 | 302 | ||
Series 3002 Class SN, 6.045% 7/15/35 (g)(h)(j) | 5,727 | 415 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
sequential payer Series 2002-42 Class ZA, 6% 6/20/32 | 1,847 | 1,921 | ||
Series 2003-11 Class S, 6.095% 2/16/33 (g)(h)(j) | 4,467 | 337 | ||
Series 2004-32 Class GS, 6.5% 5/16/34 (g)(h)(j) | 1,293 | 102 | ||
TOTAL U.S. GOVERNMENT AGENCY | 139,712 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $201,079) | 181,188 | |||
Commercial Mortgage Securities - 2.1% | ||||
| ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A-6, 7.4181% 2/14/43 (g) | 8,300 | 6,980 | ||
Class PS1, 1.5863% 2/14/43 (g)(h) | 15,229 | 540 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2006-3A: | ||||
Class B1, 1.2738% 10/25/36 (a)(g) | 256 | 79 | ||
Class B2, 1.8238% 10/25/36 (a)(g) | 167 | 49 | ||
Class B3, 3.0738% 10/25/36 (a)(g) | 300 | 67 | ||
Class M4, 0.9038% 10/25/36 (a)(g) | 256 | 111 | ||
Class M5, 0.9538% 10/25/36 (a)(g) | 326 | 130 | ||
Class M6, 1.0338% 10/25/36 (a)(g) | 632 | 237 | ||
Series 2006-4A: | ||||
Class B1, 1.1738% 12/25/36 (a)(g) | 100 | 20 | ||
Class B2, 1.7238% 12/25/36 (a)(g) | 96 | 44 | ||
Class B3, 2.9238% 12/25/36 (a)(g) | 178 | 78 | ||
Series 2007-1: | ||||
Class B1, 1.1438% 3/25/37 (a)(g) | 148 | 52 | ||
Class B2, 1.6238% 3/25/37 (a)(g) | 108 | 34 | ||
Class B3, 3.8238% 3/25/37 (a)(g) | 308 | 90 | ||
Class M1, 0.7438% 3/25/37 (a)(g) | 124 | 67 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2007-1: | ||||
Class M2, 0.7638% 3/25/37 (a)(g) | $ 96 | $ 50 | ||
Class M3, 0.7938% 3/25/37 (a)(g) | 84 | 42 | ||
Class M4, 0.8438% 3/25/37 (a)(g) | 64 | 31 | ||
Class M5, 0.8938% 3/25/37 (a)(g) | 104 | 47 | ||
Class M6, 0.9738% 3/25/37 (a)(g) | 148 | 59 | ||
Series 2007-2A: | ||||
Class B1, 2.0738% 7/25/37 (a)(g) | 115 | 37 | ||
Class B2, 2.7238% 7/25/37 (a)(g) | 98 | 30 | ||
Class B3, 3.8238% 7/25/37 (a)(g) | 111 | 33 | ||
Class M4, 1.1238% 7/25/37 (a)(g) | 142 | 59 | ||
Class M5, 1.2238% 7/25/37 (a)(g) | 129 | 51 | ||
Class M6, 1.4738% 7/25/37 (a)(g) | 160 | 59 | ||
Series 2007-3: | ||||
Class B1, 1.4238% 7/25/37 (a)(g) | 100 | 48 | ||
Class B2, 2.0738% 7/25/37 (a)(g) | 263 | 125 | ||
Class B3, 4.4738% 7/25/37 (a)(g) | 136 | 62 | ||
Class M1, 0.7838% 7/25/37 (a)(g) | 89 | 52 | ||
Class M2, 0.8138% 7/25/37 (a)(g) | 93 | 52 | ||
Class M3, 0.8438% 7/25/37 (a)(g) | 150 | 79 | ||
Class M4, 0.9738% 7/25/37 (a)(g) | 239 | 125 | ||
Class M5, 1.0738% 7/25/37 (a)(g) | 120 | 61 | ||
Class M6, 1.2738% 7/25/37 (a)(g) | 93 | 47 | ||
Series 2007-4A: | ||||
Class B1, 3.0238% 9/25/37 (a)(g) | 136 | 43 | ||
Class B2, 3.9238% 9/25/37 (a)(g) | 504 | 148 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.908% 5/15/35 (a)(g)(h) | 26,920 | 1,063 | ||
Chase Commercial Mortgage Securities Corp. Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 1,110 | 1,072 | ||
Class F, 7.734% 1/15/32 | 600 | 575 | ||
Credit Suisse Commercial Mortgage Trust sequential payer: | ||||
Series 2007-C2 Class A1, 5.269% 1/15/49 | 564 | 550 | ||
Series 2007-C3 Class A1, 5.664% 6/15/39 (g) | 652 | 638 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2006-TF2A: | ||||
Class A2, 1.9613% 7/15/19 (a)(g) | 175 | 35 | ||
Class SHDC, 1.4613% 7/15/19 (a)(g) | 84 | 21 | ||
Series 2006-TFL2 Class SHDD, 1.8113% 7/15/19 (a)(g) | 47 | 10 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Credit Suisse Mortgage Capital Certificates sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40 | $ 684 | $ 668 | ||
GS Mortgage Securities Corp. II floater Series 2007-EOP: | ||||
Class C, 0.765% 3/6/20 (a)(g) | 780 | 499 | ||
Class D, 0.815% 3/6/20 (a)(g) | 235 | 150 | ||
Class F, 0.925% 3/6/20 (a)(g) | 195 | 119 | ||
Class G, 0.965% 3/6/20 (a)(g) | 95 | 57 | ||
Class H, 1.095% 3/6/20 (a)(g) | 160 | 96 | ||
Class J, 1.295% 3/6/20 (a)(g) | 230 | 131 | ||
GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A1, 5.69% 8/10/45 | 1,110 | 883 | ||
JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 633 | 614 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 402 | 393 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (g) | 568 | 555 | ||
Series 2007-C2 Class A1, 5.226% 2/15/40 | 514 | 502 | ||
Series 2004-C2 Class XCP, 0.8376% 3/15/36 (a)(g)(h) | 62,797 | 1,229 | ||
Series 2007-C1 Class XCP, 0.4751% 2/15/40 (g)(h) | 14,259 | 227 | ||
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer: | ||||
Series 2007-5 Class A1, 4.275% 12/12/11 | 479 | 460 | ||
Series 2007-6 Class A1, 5.175% 3/12/51 | 564 | 549 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $28,796) | 21,014 |
Cash Equivalents - 3.0% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # | $ 30,806 | $ 30,805 | |
TOTAL INVESTMENT PORTFOLIO - 142.6% (Cost $1,501,847) | 1,466,639 | ||
NET OTHER ASSETS - (42.6)% | (438,062) | ||
NET ASSETS - 100% | $ 1,028,577 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Sold | |||||
Treasury Contracts | |||||
48 CBOT 2 Year U.S. Treasury Notes Index Contracts | July 2009 | $ 10,397 | $ (5) |
|
The face value of futures sold as a percentage of net assets - 1% |
Swap Agreements | |||||
|
| Notional Amount (000s) | Value (000s) | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 2.22% and pay JPMorgan Chase, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2005-HE3 Class B2, 6.87% 7/25/35 (Rating-Caa2) (f) | August 2035 | $ 1,000 | $ (938) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 2.5425% with Credit Suisse First Boston | Jan. 2019 | $ 530 | $ 35 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.41% with Credit Suisse First Boston | Sept. 2010 | 57,000 | (2,329) | ||
TOTAL INTEREST RATE SWAPS | 57,530 | (2,294) | |||
| $ 58,530 | $ (3,232) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $19,559,000 or 1.9% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) A portion of the security is subject to a forward commitment to sell. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $133,000. |
(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $3,915,000. |
(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
* Amount represents less than $1,000. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$30,805,000 due 3/02/09 at 0.26% | |
Goldman, Sachs & Co. | $ 12,079 |
UBS Securities LLC | 18,726 |
| $ 30,805 |
Other Information |
The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 1,466,639 | $ - | $ 1,443,311 | $ 23,328 |
Other Financial Instruments* | $ (3,467) | $ (5) | $ (2,524) | $ (938) |
* Other financial instruments include Futures Contracts, Swap Agreements and Forward Commitments. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
(Amounts in thousands) | Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 2,301 | $ (804) |
Total Realized Gain (Loss) | 71 | - * |
Total Unrealized Gain (Loss) | (10,087) | 756 |
Cost of Purchases | 9,218 | - |
Proceeds of Sales | (3,511) | - |
Amortization/Accretion | (1,753) | - |
Transfer in/out of Level 3 | 27,089 | (890) |
Ending Balance | $ 23,328 | $ (938) |
* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(897,000). |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Income Tax Information |
At August 31, 2008, the fund had a capital loss carryforward of approximately $34,825,000 of which $2,470,000, $14,312,000, $3,550,000 and $14,493,000 will expire on August 31, 2013, 2014, 2015 and 2016, respectively. |
The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $107,093,000 of losses recognized during the period November 1, 2007 to August 31, 2008. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $30,805) - See accompanying schedule: Unaffiliated issuers (cost $1,501,847) |
| $ 1,466,639 |
Commitment to sell securities on a delayed delivery basis | $ (303,051) | |
Receivable for securities sold on a delayed delivery basis | 302,821 | (230) |
Receivable for investments sold, regular delivery | 23,417 | |
Cash | 8 | |
Receivable for swap agreements | 4 | |
Receivable for fund shares sold | 593 | |
Interest receivable | 5,483 | |
Other receivables | 114 | |
Unrealized appreciation on swap agreements | 35 | |
Total assets | 1,496,063 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 601 | |
Delayed delivery | 460,377 | |
Payable for swap agreements | 920 | |
Payable for fund shares redeemed | 1,345 | |
Distributions payable | 389 | |
Unrealized depreciation on swap agreements | 3,267 | |
Accrued management fee | 277 | |
Distribution fees payable | 50 | |
Payable for daily variation on futures contracts | 16 | |
Other affiliated payables | 128 | |
Other payables and accrued expenses | 116 | |
Total liabilities | 467,486 | |
|
|
|
Net Assets | $ 1,028,577 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,204,419 | |
Distributions in excess of net investment income | (6,099) | |
Accumulated undistributed net realized gain (loss) on investments | (131,068) | |
Net unrealized appreciation (depreciation) on investments | (38,675) | |
Net Assets | $ 1,028,577 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | February 28, 2009 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($44,431 ÷ 4,438 shares) | $ 10.01 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.01) | $ 10.43 | |
Class T: | $ 10.03 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.03) | $ 10.45 | |
Class B: | $ 10.01 | |
|
|
|
Class C: | $ 10.00 | |
|
|
|
Fidelity Mortgage Securities Fund: | $ 10.03 | |
|
|
|
Institutional Class: | $ 10.00 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended February 28, 2009 (Unaudited) | |
|
|
|
Investment Income |
|
|
Interest |
| $ 29,298 |
|
|
|
Expenses | ||
Management fee | $ 1,750 | |
Transfer agent fees | 645 | |
Distribution fees | 309 | |
Fund wide operations fee | 162 | |
Independent trustees' compensation | 2 | |
Miscellaneous | 5 | |
Total expenses before reductions | 2,873 | |
Expense reductions | (1) | 2,872 |
Net investment income | 26,426 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 11,233 | |
Futures contracts | (539) | |
Swap agreements | (781) |
|
Total net realized gain (loss) |
| 9,913 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (17,972) | |
Futures contracts | 99 | |
Swap agreements | (1,225) | |
Delayed delivery commitments | 1,326 |
|
Total change in net unrealized appreciation (depreciation) |
| (17,772) |
Net gain (loss) | (7,859) | |
Net increase (decrease) in net assets resulting from operations | $ 18,567 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 26,426 | $ 65,979 |
Net realized gain (loss) | 9,913 | (102,798) |
Change in net unrealized appreciation (depreciation) | (17,772) | 41,977 |
Net increase (decrease) in net assets resulting from operations | 18,567 | 5,158 |
Distributions to shareholders from net investment income | (27,059) | (68,876) |
Share transactions - net increase (decrease) | (146,241) | (404,510) |
Total increase (decrease) in net assets | (154,733) | (468,228) |
|
|
|
Net Assets | ||
Beginning of period | 1,183,310 | 1,651,538 |
End of period (including distributions in excess of net investment income of $6,099 and distributions in excess of net investment income of $5,466, respectively) | $ 1,028,577 | $ 1,183,310 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.33 | $ 11.30 | $ 11.26 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .226 | .467 | .521 | .404 | .408 | .365 | .282 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.401) | (.021) | (.267) | .181 | .112 |
Total from investment operations | .153 | .006 | .120 | .383 | .141 | .546 | .394 |
Distributions from net investment income | (.233) | (.486) | (.520) | (.403) | (.421) | (.366) | (.274) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.233) | (.486) | (.520) | (.403) | (.481) | (.516) | (.354) |
Net asset value, end of period | $ 10.01 | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.33 | $ 11.30 |
Total Return B, C, D | 1.54% | .06% | 1.04% | 3.56% | 1.26% | 4.97% | 3.56% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | .86% A | .85% | .79% | .74% A | .82% | .86% | .81% |
Expenses net of fee waivers, if any | .86% A | .85% | .79% | .74% A | .82% | .86% | .81% |
Expenses net of all reductions | .86% A | .85% | .78% | .74% A | .82% | .86% | .81% |
Net investment income | 4.54% A | 4.52% | 4.77% | 4.44% A | 3.65% | 3.24% | 2.51% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 44 | $ 39 | $ 54 | $ 54 | $ 50 | $ 55 | $ 69 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class T
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.00 | $ 11.34 | $ 11.31 | $ 11.28 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .227 | .470 | .519 | .399 | .400 | .353 | .270 |
Net realized and unrealized gain (loss) | (.074) | (.462) | (.403) | (.012) | (.268) | .181 | .101 |
Total from investment operations | .153 | .008 | .116 | .387 | .132 | .534 | .371 |
Distributions from net investment income | (.233) | (.488) | (.516) | (.397) | (.412) | (.354) | (.261) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.233) | (.488) | (.516) | (.397) | (.472) | (.504) | (.341) |
Net asset value, end of period | $ 10.03 | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.00 | $ 11.34 | $ 11.31 |
Total Return B, C, D | 1.54% | .07% | 1.01% | 3.59% | 1.18% | 4.86% | 3.34% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Expenses net of fee waivers, if any | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Expenses net of all reductions | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Net investment income | 4.54% A | 4.53% | 4.73% | 4.37% A | 3.57% | 3.14% | 2.39% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 39 | $ 41 | $ 68 | $ 89 | $ 126 | $ 131 | $ 155 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class B
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .194 | .400 | .443 | .336 | .323 | .278 | .197 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.401) | (.022) | (.257) | .172 | .112 |
Total from investment operations | .121 | (.061) | .042 | .314 | .066 | .450 | .309 |
Distributions from net investment income | (.201) | (.419) | (.442) | (.334) | (.336) | (.280) | (.189) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.201) | (.419) | (.442) | (.334) | (.396) | (.430) | (.269) |
Net asset value, end of period | $ 10.01 | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 |
Total Return B, C, D | 1.21% | (.58)% | .32% | 2.91% | .58% | 4.08% | 2.78% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Expenses net of fee waivers, if any | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Expenses net of all reductions | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Net investment income | 3.89% A | 3.86% | 4.05% | 3.68% A | 2.89% | 2.48% | 1.75% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 25 | $ 32 | $ 50 | $ 74 | $ 101 | $ 134 | $ 182 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class C
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.08 | $ 10.56 | $ 10.96 | $ 10.98 | $ 11.31 | $ 11.29 | $ 11.25 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .188 | .389 | .434 | .328 | .316 | .273 | .189 |
Net realized and unrealized gain (loss) | (.072) | (.459) | (.401) | (.021) | (.257) | .172 | .112 |
Total from investment operations | .116 | (.070) | .033 | .307 | .059 | .445 | .301 |
Distributions from net investment income | (.196) | (.410) | (.433) | (.327) | (.329) | (.275) | (.181) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.196) | (.410) | (.433) | (.327) | (.389) | (.425) | (.261) |
Net asset value, end of period | $ 10.00 | $ 10.08 | $ 10.56 | $ 10.96 | $ 10.98 | $ 11.31 | $ 11.29 |
Total Return B, C, D | 1.17% | (.68)% | .25% | 2.85% | .52% | 4.04% | 2.71% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Expenses net of fee waivers, if any | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Expenses net of all reductions | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Net investment income | 3.79% A | 3.77% | 3.97% | 3.61% A | 2.82% | 2.42% | 1.68% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 16 | $ 15 | $ 23 | $ 31 | $ 41 | $ 58 | $ 99 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Fidelity Mortgage Securities Fund
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 E | 2005 G | 2004 G | 2003 G | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .247 | .509 | .559 | .432 | .438 | .390 | .306 |
Net realized and unrealized gain (loss) | (.074) | (.462) | (.403) | (.023) | (.257) | .183 | .102 |
Total from investment operations | .173 | .047 | .156 | .409 | .181 | .573 | .408 |
Distributions from net investment income | (.253) | (.527) | (.556) | (.429) | (.451) | (.393) | (.298) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.253) | (.527) | (.556) | (.429) | (.511) | (.543) | (.378) |
Net asset value, end of period | $ 10.03 | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 |
Total Return B, C | 1.74% | .46% | 1.38% | 3.80% | 1.61% | 5.21% | 3.68% |
Ratios to Average Net Assets F |
|
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Net investment income | 4.94% A | 4.91% | 5.10% | 4.73% A | 3.91% | 3.48% | 2.72% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 896 | $ 1,049 | $ 1,446 | $ 1,612 | $ 1,807 | $ 1,525 | $ 1,302 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. G For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 E | 2005 G | 2004 G | 2003 G | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.08 | $ 10.56 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .242 | .499 | .548 | .424 | .432 | .387 | .302 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.411) | (.011) | (.266) | .182 | .112 |
Total from investment operations | .169 | .038 | .137 | .413 | .166 | .569 | .414 |
Distributions from net investment income | (.249) | (.518) | (.547) | (.423) | (.446) | (.389) | (.294) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.249) | (.518) | (.547) | (.423) | (.506) | (.539) | (.374) |
Net asset value, end of period | $ 10.00 | $ 10.08 | $ 10.56 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 |
Total Return B, C | 1.71% | .37% | 1.20% | 3.85% | 1.48% | 5.19% | 3.75% |
Ratios to Average Net Assets F |
|
|
|
|
|
|
|
Expenses before reductions | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Expenses net of fee waivers, if any | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Expenses net of all reductions | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Net investment income | 4.87% A | 4.83% | 5.02% | 4.66% A | 3.87% | 3.45% | 2.69% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 8 | $ 7 | $ 10 | $ 14 | $ 16 | $ 13 | $ 16 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. G For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2009 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Fidelity Mortgage Securities Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Security Valuation - continued
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 26,595 |
Unrealized depreciation | (61,807) |
Net unrealized appreciation (depreciation) | $ (35,212) |
Cost for federal income tax purposes | $ 1,501,851 |
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Operating Policies - continued
Swap Agreements - continued
losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event
Semiannual Report
3. Operating Policies - continued
Swap Agreements - continued
may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $1,000 representing 0.0% of net assets.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $31,179 and $51,239, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20%
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 53 | $ 4 |
Class T | 0% | .25% | 51 | 1 |
Class B | .65% | .25% | 127 | 92 |
Class C | .75% | .25% | 78 | 5 |
|
|
| $ 309 | $ 102 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 2 |
Class T | 1 |
Class B* | 20 |
Class C* | 2 |
| $ 25 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
| Amount | % of |
Class A | $ 53 | .25 |
Class T | 51 | .25 |
Class B | 35 | .25 |
Class C | 19 | .25 |
Fidelity Mortgage Securities Fund | 479 | .10 |
Institutional Class | 8 | .18 |
| $ 645 |
|
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $1.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 988 | $ 2,205 |
Class T | 944 | 2,500 |
Class B | 559 | 1,654 |
Class C | 305 | 733 |
Fidelity Mortgage Securities Fund | 24,054 | 61,360 |
Institutional Class | 209 | 424 |
Total | $ 27,059 | $ 68,876 |
9. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class A |
|
|
|
|
Shares sold | 1,323 | 1,233 | $ 13,269 | $ 12,720 |
Reinvestment of distributions | 82 | 189 | 825 | 1,952 |
Shares redeemed | (853) | (2,645) | (8,577) | (27,288) |
Net increase (decrease) | 552 | (1,223) | $ 5,517 | $ (12,616) |
Class T |
|
|
|
|
Shares sold | 756 | 652 | $ 7,676 | $ 6,745 |
Reinvestment of distributions | 88 | 227 | 881 | 2,348 |
Shares redeemed | (945) | (3,306) | (9,499) | (34,313) |
Net increase (decrease) | (101) | (2,427) | $ (942) | $ (25,220) |
Class B |
|
|
|
|
Shares sold | 114 | 74 | $ 1,147 | $ 761 |
Reinvestment of distributions | 47 | 133 | 470 | 1,376 |
Shares redeemed | (812) | (1,820) | (8,157) | (18,803) |
Net increase (decrease) | (651) | (1,613) | $ (6,540) | $ (16,666) |
Semiannual Report
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class C |
|
|
|
|
Shares sold | 418 | 130 | $ 4,222 | $ 1,330 |
Reinvestment of distributions | 24 | 57 | 235 | 589 |
Shares redeemed | (314) | (838) | (3,153) | (8,656) |
Net increase (decrease) | 128 | (651) | $ 1,304 | $ (6,737) |
Fidelity Mortgage Securities Fund |
|
|
|
|
Shares sold | 6,701 | 12,801 | $ 67,565 | $ 131,962 |
Reinvestment of distributions | 2,218 | 5,511 | 22,222 | 57,031 |
Shares redeemed | (23,384) | (51,088) | (235,660) | (529,926) |
Net increase (decrease) | (14,465) | (32,776) | $ (145,873) | $ (340,933) |
Institutional Class |
|
|
|
|
Shares sold | 391 | 224 | $ 3,934 | $ 2,294 |
Reinvestment of distributions | 15 | 32 | 149 | 335 |
Shares redeemed | (378) | (482) | (3,790) | (4,967) |
Net increase (decrease) | 28 | (226) | $ 293 | $ (2,338) |
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money Management, Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan), Inc.
Fidelity Research & Analysis Company
FIL Investment Advisors
FIL Investment Advisors
(U.K.) Ltd.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
AMORI-USAN-0409 1.784899.106
Fidelity
Mortgage Securities
Fund
(A Class of Fidelity® Advisor Mortgage
Securities Fund)
Semiannual Report
February 28, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .86% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,015.40 | $ 4.30 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.53 | $ 4.31 |
Class T | .86% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,015.40 | $ 4.30 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.53 | $ 4.31 |
Class B | 1.51% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,012.10 | $ 7.53 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.31 | $ 7.55 |
Class C | 1.61% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,011.70 | $ 8.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.81 | $ 8.05 |
Fidelity Mortgage Securities Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,017.40 | $ 2.25 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | .53% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,017.10 | $ 2.65 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.17 | $ 2.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Coupon Distribution as of February 28, 2009 | ||
| % of fund's investments | % of fund's investments |
Less than 4% | 5.6 | 5.2 |
4 - 4.99% | 6.5 | 7.7 |
5 - 5.99% | 45.2 | 44.9 |
6 - 6.99% | 35.3 | 30.8 |
7% and over | 5.2 | 4.9 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of February 28, 2009 | ||
|
| 6 months ago |
Years | 3.5 | 5.2 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of February 28, 2009 | ||
|
| 6 months ago |
Years | 2.1 | 4.3 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2009 * | As of August 31, 2008 ** | ||||||
![]() | Mortgage |
| ![]() | Mortgage |
| ||
![]() | CMOs and |
| ![]() | CMOs and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 0.7% |
| ** Foreign investments | 1.3% |
| ||
* Futures and Swaps | (4.4)% |
| ** Futures and Swaps | (8.8)% |
|
† Short-Term Investments and Net Other Assets are not included in the pie chart. |
Semiannual Report
Investments February 28, 2009 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 115.1% | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - 67.1% | ||||
3.575% 1/1/32 (g) | $ 144 | $ 144 | ||
4.162% 1/1/35 (g) | 1,899 | 1,921 | ||
4.303% 3/1/33 (g) | 86 | 87 | ||
4.328% 1/1/35 (g) | 2,246 | 2,261 | ||
4.34% 1/1/35 (g) | 210 | 213 | ||
4.423% 5/1/35 (g) | 129 | 130 | ||
4.432% 3/1/35 (g) | 303 | 308 | ||
4.456% 7/1/35 (g) | 931 | 926 | ||
4.5% 10/1/19 to 9/1/31 (c) | 22,840 | 23,194 | ||
4.5% 3/12/39 (b)(c) | 12,000 | 12,032 | ||
4.548% 10/1/33 (g) | 135 | 136 | ||
4.55% 10/1/35 (g) | 1,179 | 1,195 | ||
4.583% 8/1/34 (g) | 473 | 479 | ||
4.667% 7/1/35 (g) | 173 | 176 | ||
4.7% 2/1/35 (g) | 1,001 | 1,018 | ||
4.739% 8/1/35 (g) | 741 | 752 | ||
4.742% 12/1/34 (g) | 170 | 172 | ||
4.747% 4/1/35 (g) | 65 | 66 | ||
4.752% 10/1/35 (g) | 2,636 | 2,674 | ||
4.823% 12/1/35 (g) | 1,812 | 1,836 | ||
4.846% 4/1/33 (g) | 1,653 | 1,676 | ||
4.87% 7/1/35 (g) | 1,060 | 1,087 | ||
4.933% 1/1/35 (g) | 537 | 544 | ||
4.933% 7/1/35 (g) | 45 | 47 | ||
4.987% 7/1/35 (g) | 3,088 | 3,141 | ||
5% 9/1/16 to 7/1/38 (c)(e) | 90,595 | 92,538 | ||
5% 3/12/39 (b) | 9,000 | 9,156 | ||
5.048% 1/1/37 (g) | 1,270 | 1,297 | ||
5.095% 7/1/34 (g) | 357 | 359 | ||
5.141% 5/1/35 (g) | 124 | 126 | ||
5.16% 10/1/18 (g) | 77 | 78 | ||
5.174% 8/1/34 (g) | 1,053 | 1,071 | ||
5.198% 3/1/35 (g) | 110 | 110 | ||
5.265% 12/1/36 (g) | 543 | 555 | ||
5.307% 7/1/35 (g) | 760 | 786 | ||
5.328% 6/1/36 (g) | 1,818 | 1,886 | ||
5.336% 7/1/35 (g) | 436 | 446 | ||
5.342% 2/1/37 (g) | 561 | 575 | ||
5.481% 6/1/32 (g) | 341 | 343 | ||
5.5% 6/1/11 to 5/1/38 (c) | 97,371 | 100,354 | ||
5.5% 3/17/24 (b) | 2,000 | 2,073 | ||
5.5% 3/17/24 (b) | 2,000 | 2,073 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
5.5% 3/17/24 (b) | $ 6,800 | $ 7,050 | ||
5.5% 3/12/39 (b) | 20,000 | 20,489 | ||
5.5% 3/12/39 (b) | 7,000 | 7,171 | ||
5.5% 3/12/39 (b)(c) | 50,500 | 51,734 | ||
5.5% 3/12/39 (b)(c) | 14,500 | 14,854 | ||
5.573% 10/1/36 (g) | 285 | 296 | ||
5.658% 6/1/36 (g) | 1,414 | 1,463 | ||
5.77% 3/1/36 (g) | 3,223 | 3,341 | ||
5.798% 1/1/36 (g) | 563 | 586 | ||
5.806% 11/1/36 (g) | 886 | 906 | ||
5.819% 9/1/36 (g) | 873 | 888 | ||
5.823% 7/1/36 (g) | 609 | 634 | ||
5.845% 3/1/36 (g) | 1,849 | 1,926 | ||
5.851% 3/1/36 (g) | 1,492 | 1,545 | ||
5.952% 4/1/36 (g) | 398 | 413 | ||
5.952% 9/1/36 (g) | 781 | 813 | ||
5.954% 5/1/36 (g) | 565 | 587 | ||
6% 3/1/09 to 11/1/37 (c) | 109,977 | 114,484 | ||
6% 9/1/36 (g) | 663 | 691 | ||
6% 3/12/39 (b)(c) | 18,000 | 18,594 | ||
6% 3/12/39 (b)(c) | 62,000 | 64,046 | ||
6.008% 4/1/36 (g) | 6,024 | 6,258 | ||
6.091% 9/1/36 (g) | 640 | 667 | ||
6.118% 4/1/36 (g) | 869 | 904 | ||
6.192% 2/1/35 (g) | 104 | 106 | ||
6.198% 5/1/37 (g) | 83 | 87 | ||
6.226% 5/1/36 (g) | 1,844 | 1,920 | ||
6.241% 6/1/36 (g) | 3,144 | 3,275 | ||
6.243% 6/1/36 (g) | 137 | 139 | ||
6.245% 8/1/46 (g) | 320 | 334 | ||
6.346% 5/1/36 (g) | 1,315 | 1,371 | ||
6.433% 4/1/37 (g) | 964 | 1,006 | ||
6.499% 12/1/36 (g) | 204 | 212 | ||
6.5% 5/1/12 to 9/1/47 (c) | 58,235 | 61,262 | ||
6.5% 3/12/39 (b) | 1,000 | 1,045 | ||
6.555% 12/1/36 (g) | 285 | 298 | ||
6.784% 9/1/37 (g) | 1,489 | 1,554 | ||
6.862% 9/1/37 (g) | 676 | 705 | ||
6.946% 9/1/37 (g) | 536 | 559 | ||
7% 12/1/15 to 7/1/37 | 9,014 | 9,597 | ||
7.075% 9/1/37 (g) | 720 | 752 | ||
7.5% 8/1/22 to 5/1/37 | 13,539 | 14,380 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
8% 12/1/29 to 3/1/37 | $ 176 | $ 186 | ||
8.5% 1/1/16 to 7/1/31 | 218 | 236 | ||
9% 2/1/13 to 10/1/30 | 536 | 583 | ||
9.5% 11/1/09 to 8/1/22 | 80 | 88 | ||
11% 8/1/10 | 9 | 9 | ||
12.25% 5/1/15 | 14 | 16 | ||
12.5% 8/1/15 to 3/1/16 | 17 | 20 | ||
12.75% 2/1/15 | 4 | 4 | ||
13.5% 9/1/14 | 3 | 4 | ||
| 690,129 | |||
Freddie Mac - 36.0% | ||||
3.456% 2/1/34 (g) | 166 | 166 | ||
3.741% 5/1/34 (g) | 31 | 32 | ||
4.275% 6/1/35 (g) | 283 | 287 | ||
4.315% 12/1/34 (g) | 229 | 233 | ||
4.329% 11/1/31 (g) | 62 | 62 | ||
4.407% 3/1/35 (g) | 286 | 290 | ||
4.471% 3/1/35 (g) | 256 | 259 | ||
4.546% 3/1/34 (g) | 2,392 | 2,422 | ||
4.569% 12/1/33 (g) | 1,036 | 1,044 | ||
4.58% 6/1/33 (g) | 2,020 | 2,062 | ||
4.709% 11/1/35 (g) | 935 | 947 | ||
4.789% 2/1/36 (g) | 254 | 260 | ||
4.801% 3/1/35 (g) | 499 | 504 | ||
5% 6/1/18 to 6/1/38 (c) | 35,899 | 36,599 | ||
5% 3/12/39 (b) | 2,000 | 2,032 | ||
5% 3/12/39 (b) | 5,000 | 5,079 | ||
5.023% 4/1/35 (g) | 140 | 144 | ||
5.158% 10/1/33 (g) | 1,647 | 1,674 | ||
5.288% 3/1/35 (g) | 174 | 175 | ||
5.443% 4/1/37 (g) | 365 | 374 | ||
5.5% 6/1/09 to 1/1/38 | 42,700 | 43,987 | ||
5.5% 3/12/39 (b) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 18,000 | 18,436 | ||
5.5% 3/12/39 (b)(c) | 23,000 | 23,557 | ||
5.5% 4/13/39 (b) | 23,000 | 23,495 | ||
5.5% 4/13/39 (b) | 18,000 | 18,388 | ||
5.5% 4/13/39 (b) | 18,000 | 18,387 | ||
5.548% 1/1/37 (g) | 1,842 | 1,886 | ||
5.694% 10/1/35 (g) | 246 | 257 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Freddie Mac - continued | ||||
5.757% 3/1/37 (g) | $ 1,966 | $ 1,994 | ||
5.78% 4/1/37 (g) | 1,896 | 1,944 | ||
5.812% 6/1/37 (g) | 1,532 | 1,588 | ||
5.834% 5/1/37 (g) | 585 | 599 | ||
5.948% 4/1/36 (g) | 1,277 | 1,322 | ||
6% 4/1/14 to 7/1/37 | 38,372 | 40,064 | ||
6% 3/1/39 (b) | 8,500 | 8,799 | ||
6.006% 6/1/36 (g) | 576 | 598 | ||
6.098% 4/1/37 (g) | 596 | 621 | ||
6.139% 10/1/36 (g) | 130 | 136 | ||
6.142% 12/1/36 (g) | 877 | 912 | ||
6.169% 7/1/36 (g) | 3,267 | 3,392 | ||
6.181% 5/1/36 (g) | 545 | 565 | ||
6.228% 3/1/36 (g) | 2,926 | 3,049 | ||
6.303% 7/1/36 (g) | 587 | 609 | ||
6.362% 10/1/36 (g) | 3,289 | 3,425 | ||
6.416% 12/1/36 (g) | 1,587 | 1,654 | ||
6.418% 6/1/37 (g) | 167 | 174 | ||
6.5% 4/1/11 to 8/1/47 | 26,126 | 27,474 | ||
6.581% 12/1/36 (g) | 3,755 | 3,918 | ||
6.594% 1/1/37 (g) | 1,853 | 1,934 | ||
6.619% 6/1/37 (g) | 187 | 195 | ||
6.625% 7/1/36 (g) | 2,758 | 2,878 | ||
6.644% 6/1/36 (g) | 389 | 406 | ||
6.65% 8/1/37 (g) | 1,169 | 1,217 | ||
6.837% 10/1/36 (g) | 2,346 | 2,447 | ||
7% 6/1/21 to 9/1/36 | 6,264 | 6,648 | ||
7.128% 2/1/37 (g) | 256 | 267 | ||
7.5% 11/1/10 to 4/1/37 | 10,442 | 11,061 | ||
7.524% 4/1/37 (g) | 122 | 127 | ||
8% 11/1/16 to 1/1/37 | 245 | 258 | ||
8.5% 7/1/09 to 9/1/20 | 25 | 27 | ||
9% 7/1/13 to 5/1/21 | 206 | 222 | ||
10% 6/1/09 to 5/1/19 | 40 | 43 | ||
10.5% 8/1/10 to 2/1/16 | 3 | 3 | ||
12.5% 10/1/12 to 12/1/14 | 27 | 29 | ||
13% 12/1/13 to 6/1/15 | 60 | 68 | ||
| 370,577 | |||
Government National Mortgage Association - 12.0% | ||||
4.5% 3/18/39 (b) | 12,000 | 12,045 | ||
5% 1/20/33 to 2/20/39 | 9,988 | 10,205 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Government National Mortgage Association - continued | ||||
5.5% 3/18/39 (b) | $ 13,000 | $ 13,331 | ||
5.5% 3/18/39 (b) | 1,000 | 1,027 | ||
5.5% 3/18/39 (b) | 18,000 | 18,458 | ||
5.5% 3/18/39 (b) | 300 | 308 | ||
5.5% 3/18/39 (b) | 14,000 | 14,379 | ||
5.5% 3/18/39 (b) | 4,000 | 4,102 | ||
5.5% 3/18/39 (b) | 3,000 | 3,076 | ||
6% 1/15/36 | 7,770 | 8,075 | ||
6% 3/18/39 (b) | 10,000 | 10,327 | ||
6% 3/18/39 (b) | 14,000 | 14,457 | ||
6.5% 5/15/28 to 7/15/36 | 7,158 | 7,526 | ||
7% 2/15/24 to 7/15/32 | 3,335 | 3,542 | ||
7.5% 9/15/16 to 4/15/32 | 1,142 | 1,202 | ||
8% 6/15/21 to 12/15/25 | 451 | 480 | ||
8.5% 8/15/16 to 10/15/28 | 638 | 691 | ||
9% 11/20/17 | 2 | 2 | ||
10.5% 12/20/15 to 2/20/18 | 56 | 64 | ||
13.5% 7/15/11 | 2 | 2 | ||
| 123,299 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,164,697) | 1,184,005 | |||
Asset-Backed Securities - 4.8% | ||||
| ||||
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class A2A, 0.5238% 10/25/36 (g) | 158 | 153 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2005-R10 Class A2B, 0.6938% 12/25/35 (g) | 522 | 358 | ||
Argent Securities, Inc. Series 2006-M2 Class A2A, 0.5238% 9/25/36 (g) | 197 | 195 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2005-AQ2 Class M7, 2.1238% 9/25/35 (g) | 335 | 1 | ||
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (g) | 600 | 273 | ||
Series 2006-HE1 Class 1A2, 0.6938% 12/25/35 (g) | 3,574 | 2,853 | ||
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (g) | 565 | 432 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (g) | 306 | 263 | ||
Capital Auto Receivables Asset Trust Series 2007-SN1 Class D, 6.05% 1/17/12 | 970 | 485 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2006-HE2 Class A2A, 0.5238% 8/26/36 (g) | 13 | 13 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Citigroup Mortgage Loan Trust: - continued | ||||
Series 2006-NC2 Class A2A, 0.5138% 9/25/36 (g) | $ 51 | $ 50 | ||
Series 2006-WF2 Class A2B, 5.735% 5/25/36 | 255 | 250 | ||
Countrywide Asset-Backed Certificates Trust: | ||||
Series 2006-13 Class 1AF1, 0.5938% 1/25/37 (g) | 49 | 46 | ||
Series 2007-11 Class 2A1, 0.5338% 6/25/47 (g) | 4,178 | 3,708 | ||
Series 2007-4 Class A1A, 0.5938% 9/25/37 (g) | 3,346 | 3,020 | ||
Series 2007-5 Class 2A1, 0.5738% 4/25/29 (g) | 2,080 | 1,800 | ||
Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (g) | 629 | 536 | ||
First Franklin Mortgage Loan Trust Series 2006-FF5 Class 2A2, 0.5838% 4/25/36 (g) | 354 | 324 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-C Class D, 6.89% 5/15/13 (a) | 715 | 356 | ||
Series 2007-A Class D, 7.05% 12/15/13 (a) | 350 | 175 | ||
Fremont Home Loan Trust Series 2006-3 Class 2A1, 0.5438% 2/25/37 (g) | 12 | 11 | ||
GSAMP Trust: | ||||
Series 2004-AR1 Class B4, 5% 6/25/34 (a)(g) | 160 | 13 | ||
Series 2004-AR2 Class B1, 2.3738% 8/25/34 (g) | 796 | 35 | ||
GSR Mortgage Loan Trust Series 2006-6 Class AV1, 0.4594% 3/25/36 (g) | 25 | 24 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (a)(g) | 2,325 | 1,186 | ||
Home Equity Asset Trust Series 2006-8 Class 2A1, 0.5238% 3/25/37 (g) | 42 | 36 | ||
JPMorgan Mortgage Acquisition Trust Series 2006-WF1: | ||||
Class A1A, 5.6% 7/25/36 | 25 | 25 | ||
Class A1B, 0.5738% 7/25/36 (g) | 199 | 196 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a) | 10,820 | 4,112 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2005-WL1 Class M2, 1.0238% 6/25/35 (g) | 1,785 | 1,005 | ||
Series 2006-2 Class 2A2, 0.6038% 3/25/36 (g) | 134 | 131 | ||
Series 2006-8 Class 2A1, 0.5138% 9/25/36 (g) | 196 | 185 | ||
Merrill Lynch Mortgage Investors Trust Series 2006-MLN1 Class A2A, 0.5438% 7/25/37 (g) | 402 | 369 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2005-3 Class A3, 0.8538% 8/25/35 (g) | 6,101 | 5,086 | ||
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (g) | 619 | 585 | ||
Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (g) | 70 | 57 | ||
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (g) | 70 | 47 | ||
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (g) | 43 | 34 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.5738% 4/25/37 (g) | $ 898 | $ 682 | ||
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (g) | 97 | 90 | ||
National Collegiate Student Loan Trust: | ||||
Series 2006-4 Class AIO, 6.35% 2/27/12 (h) | 4,205 | 570 | ||
Series 2007-1 Class AIO, 7.27% 4/25/12 (h) | 6,370 | 1,041 | ||
Series 2007-2 Class AIO, 6.7% 7/25/12 (h) | 4,540 | 717 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 0.9894% 11/1/52 (a)(g) | 5,000 | 600 | ||
Nomura Home Equity Loan Trust Series 2006-AF1 Class A1, 6.032% 10/25/36 | 162 | 141 | ||
NovaStar Mortgage Funding Trust Series 2006-6 Class A2A, 0.5438% 1/25/37 (g) | 130 | 120 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.87% 3/20/11 (a)(g) | 2,100 | 840 | ||
Option One Mortgage Loan Trust: | ||||
Series 2007-5 Class 2A1, 0.5638% 5/25/37 (g) | 242 | 215 | ||
Series 2007-6 Class 2A1, 0.5338% 7/25/37 (g) | 283 | 254 | ||
Ownit Mortgage Loan Trust Series 2006-6 Class A2A, 0.5338% 9/25/37 (g) | 417 | 395 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1 Class 1A1, 0.5438% 9/25/36 (g) | 448 | 428 | ||
RAMP Trust Series 2006-RS4 Class A2, 0.5838% 7/25/36 (g) | 4,169 | 3,709 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 401 | 361 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (g) | 302 | 265 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2005-FR4 Class B3, 2.1938% 1/25/36 (g) | 500 | 13 | ||
Series 2006-FR4 Class A2A, 0.5538% 8/25/36 (g) | 351 | 218 | ||
Series 2007-NC1 Class A2A, 0.5238% 12/25/36 (g) | 234 | 185 | ||
Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36 | 50 | 50 | ||
Structured Asset Securities Corp.: | ||||
Series 2005-NC2 Class M3, 0.9038% 5/25/35 (g) | 1,995 | 632 | ||
Series 2007-BC4 Class A3, 0.6394% 11/25/37 (g) | 2,307 | 1,885 | ||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (g) | 5,286 | 4,005 | ||
WaMu Asset Holdings Corp.: | ||||
Series 2006-5 Class N1, 5.926% 7/25/46 (a) | 1,148 | 0* | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
WaMu Asset Holdings Corp.: - continued | ||||
Series 2006-7 Class N1, 5.926% 10/25/46 (a) | $ 912 | $ 0* | ||
Series 2006-8 Class N1, 6.048% 10/25/46 (a) | 1,160 | 0* | ||
Wells Fargo Home Equity Trust: | ||||
Series 2006-2 Class A2, 0.5738% 7/25/36 (g) | 824 | 745 | ||
Series 2007-2 Class A1, 0.5638% 4/25/37 (g) | 3,683 | 3,038 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $76,470) | 49,627 | |||
Collateralized Mortgage Obligations - 17.6% | ||||
| ||||
Private Sponsor - 4.0% | ||||
American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (g) | 6,360 | 2,862 | ||
Arkle Master Issuer PLC floater Series 2006-1A Class 3C, 1.6275% 2/17/52 (a)(g) | 910 | 683 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-J Class 2A2, 5.2918% 11/25/33 (g) | 501 | 406 | ||
Series 2004-1 Class 2A2, 4.6723% 10/25/34 (g) | 1,697 | 1,321 | ||
Series 2004-A: | ||||
Class 2A1, 5.1951% 2/25/34 (g) | 339 | 276 | ||
Class 2A2, 5.1951% 2/25/34 (g) | 1,464 | 1,194 | ||
Series 2004-D Class 2A1, 3.6163% 5/25/34 (g) | 200 | 154 | ||
Series 2004-J Class 2A1, 4.7597% 11/25/34 (g) | 874 | 680 | ||
Series 2005-H: | ||||
Class 1A1, 5.3329% 9/25/35 (g) | 196 | 141 | ||
Class 2A2, 4.8028% 9/25/35 (g) | 1,877 | 605 | ||
Citigroup Mortgage Loan Trust Series 2006-AR7 Class 1A1, 5.7236% 11/25/36 (g) | 202 | 116 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 0.8738% 3/25/35 (g) | 69 | 29 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.3796% 1/28/32 (a)(g) | 229 | 110 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (g) | 2,047 | 1,575 | ||
Fosse Master Issuer PLC floater Series 2006-1A Class C2, 1.6125% 10/18/54 (a)(g) | 770 | 385 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (a)(g) | 1,675 | 783 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (a)(g) | 2,520 | 1,091 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 1.02% 12/20/54 (g) | $ 700 | $ 49 | ||
Series 2006-2 Class C1, 0.94% 12/20/54 (g) | 155 | 16 | ||
Series 2007-1: | ||||
Class 1C1, 0.77% 12/20/54 (g) | 940 | 94 | ||
Class 2C1, 0.9% 12/20/54 (g) | 500 | 50 | ||
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (g) | 1,355 | 136 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1B, 1.5925% 1/20/44 (g) | 661 | 231 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (g) | 897 | 617 | ||
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (a)(g) | 490 | 343 | ||
Luminent Mortgage Trust floater Series 2006-1 Class A1, 0.7138% 4/25/36 (g) | 2,570 | 1,022 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6838% 5/25/47 (g) | 1,000 | 483 | ||
MASTR Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18 | 2,773 | 2,325 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (g) | 4,062 | 1,706 | ||
Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 0.955% 6/15/22 (a)(g) | 4,998 | 3,074 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2004-A4 Class A1, 4.2286% 8/25/34 (g) | 2,947 | 2,254 | ||
Series 2006-A6 Class A4, 5.3897% 10/25/33 (g) | 2,506 | 2,042 | ||
Permanent Financing No. 4 PLC Class 3C, 2.9894% 6/10/42 (g) | 1,405 | 1,401 | ||
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (g) | 610 | 413 | ||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 715 | 632 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 82 | 71 | ||
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (g) | 1,597 | 1,297 | ||
Structured Asset Securities Corp.: | ||||
Series 2003-15A Class 4A, 5.4533% 4/25/33 (g) | 1,527 | 1,238 | ||
Series 2003-20 Class 1A1, 5.5% 7/25/33 | 1,114 | 954 | ||
WaMu Mortgage pass-thru certificates: | ||||
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (g) | 395 | 391 | ||
Series 2005-AR16 Class 1A3, 5.102% 12/25/35 (g) | 2,065 | 1,173 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-W: | ||||
Class A1, 4.5429% 11/25/34 (g) | $ 1,495 | $ 1,193 | ||
Class A9, 4.5429% 11/25/34 (g) | 3,490 | 2,195 | ||
Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (g) | 907 | 693 | ||
Series 2005-AR2 Class 1A2, 4.6413% 3/25/35 (g) | 657 | 267 | ||
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (g) | 311 | 239 | ||
Series 2006-AR8 Class 3A1, 5.2374% 4/25/36 (g) | 3,448 | 2,466 | ||
TOTAL PRIVATE SPONSOR | 41,476 | |||
U.S. Government Agency - 13.6% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1994-23: | ||||
Class PX, 6% 8/25/23 | 3,448 | 3,584 | ||
Class PZ, 6% 2/25/24 | 2,687 | 2,731 | ||
Series 1999-15 Class PC, 6% 9/25/18 | 654 | 658 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 1,145 | 1,141 | ||
Series 1993-165 Class SH, 18.3855% 9/25/23 (g)(j) | 156 | 177 | ||
Series 1999-17 Class PG, 6% 4/25/29 | 5,442 | 5,677 | ||
Series 2003-22 Class IO, 6% 4/25/33 (h) | 4,081 | 400 | ||
Series 2003-26 Class KI, 5% 12/25/15 (h) | 1,554 | 50 | ||
Series 2003-39 Class IA, 5.5% 10/25/22 (g)(h) | 1,859 | 138 | ||
Series 2006-48 Class LF, 0% 8/25/34 (g)(j) | 14 | 14 | ||
Fannie Mae Stripped Mortgage-Backed Securities: | ||||
sequential payer Series 377 Class 1, 10/1/36 (i) | 3,691 | 3,237 | ||
Series 339 Class 29, 5.5% 7/1/18 (h) | 1,799 | 139 | ||
Series 348 Class 14, 6.5% 8/1/34 (h) | 864 | 119 | ||
Series 351: | ||||
Class 12, 5.5% 4/1/34 (h) | 650 | 65 | ||
Class 13, 6% 3/1/34 (h) | 828 | 98 | ||
Series 359, Class 19 6% 7/1/35 (h) | 838 | 97 | ||
Series 384 Class 6, 5% 7/25/37 (h) | 4,427 | 490 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-36 Class FG, 0.8738% 4/25/37 (g) | 3,035 | 2,969 | ||
Series 2007-57 Class FA, 0.7038% 6/25/37 (g) | 7,484 | 7,310 | ||
planned amortization class: | ||||
Series 1999-32 Class PL, 6% 7/25/29 | 3,902 | 4,068 | ||
Series 2001-52 Class YZ, 6.5% 10/25/31 | 211 | 221 | ||
Series 2001-63 Class TC, 6% 12/25/31 | 4,065 | 4,223 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
planned amortization class: | ||||
Series 2001-72 Class NZ, 6% 12/25/31 | $ 1,196 | $ 1,238 | ||
Series 2005-14 Class ME, 5% 10/25/33 | 1,785 | 1,801 | ||
Series 2005-39 Class TE, 5% 5/25/35 | 1,120 | 1,105 | ||
Series 2005-73 Class SA, 16.3183% 8/25/35 (g) | 912 | 976 | ||
sequential payer: | ||||
Series 2001-20 Class Z, 6% 5/25/31 | 4,621 | 4,790 | ||
Series 2001-31 Class ZC, 6.5% 7/25/31 | 1,615 | 1,695 | ||
Series 2002-16 Class ZD, 6.5% 4/25/32 | 710 | 741 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 2,208 | 2,246 | ||
Series 2003-80 Class CG, 6% 4/25/30 | 595 | 620 | ||
Series 2005-41 Class LA, 5.5% 5/25/35 | 3,179 | 3,281 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 2,596 | 2,702 | ||
Series 2001-63 Class PG, 6% 12/25/31 | 1,943 | 2,017 | ||
Series 2001-74 Class QE, 6% 12/25/31 | 1,846 | 1,916 | ||
Series 2003-21 Class SK, 7.6263% 3/25/33 (g)(h)(j) | 819 | 94 | ||
Series 2003-3 Class HS, 7.1763% 9/25/16 (g)(h)(j) | 49 | 1 | ||
Series 2003-35: | ||||
Class BS, 6.5263% 4/25/17 (g)(h)(j) | 547 | 19 | ||
Class TQ, 7.0263% 5/25/18 (g)(h) | 719 | 63 | ||
Series 2003-42: | ||||
Class HS, 6.6263% 12/25/17 (g)(h)(j) | 6,606 | 475 | ||
Class SJ, 6.5763% 11/25/22 (g)(h) | 923 | 75 | ||
Series 2003-48 Class HI, 5% 11/25/17 (h) | 2,691 | 198 | ||
Series 2004-54 Class SW, 5.5263% 6/25/33 (g)(h)(j) | 3,711 | 226 | ||
Series 2006-4 Class IT, 6% 10/25/35 (h) | 421 | 35 | ||
Series 2007-36: | ||||
Class GO, 4/25/37 (i) | 486 | 380 | ||
Class SG, 6.1263% 4/25/37 (g)(h)(j) | 6,302 | 544 | ||
Series 2007-57 Class SA, 37.7775% 6/25/37 (g)(j) | 4,712 | 6,318 | ||
Series 2007-66: | ||||
Class FB, 0.8738% 7/25/37 (g) | 1,995 | 1,960 | ||
Class SA, 36.7575% 7/25/37 (g)(j) | 3,111 | 3,929 | ||
Class SB, 36.7575% 7/25/37 (g)(j) | 937 | 1,264 | ||
Freddie Mac: | ||||
floater Series 3318: | ||||
Class CY, 0% 11/15/36 (g) | 186 | 183 | ||
Class GY, 0% 5/15/37 (g) | 216 | 210 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
planned amortization class: | ||||
Series 2095 Class PE, 6% 11/15/28 (e) | $ 4,890 | $ 5,074 | ||
Series 2104 Class PG, 6% 12/15/28 | 1,457 | 1,511 | ||
Series 2162 Class PH, 6% 6/15/29 | 332 | 346 | ||
Series 70 Class C, 9% 9/15/20 | 98 | 106 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 704 | 734 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 1,687 | 1,754 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2958 Class TF, 0% 4/15/35 (g) | 500 | 425 | ||
Series 3129 Class MF, 0% 7/15/34 (g) | 352 | 340 | ||
Series 3222 Class HF, 0% 9/15/36 (g) | 531 | 485 | ||
planned amortization class: | ||||
Series 2121 Class MG, 6% 2/15/29 | 1,907 | 1,988 | ||
Series 2131 Class BG, 6% 3/15/29 | 7,676 | 7,973 | ||
Series 2137 Class PG, 6% 3/15/29 | 1,845 | 1,913 | ||
Series 2154 Class PT, 6% 5/15/29 | 2,883 | 3,004 | ||
Series 2435 Class VG, 6% 2/15/13 | 655 | 675 | ||
Series 2488 Class PR, 6% 8/15/32 | 1,018 | 1,058 | ||
Series 2520 Class BE, 6% 11/15/32 | 1,970 | 2,050 | ||
Series 2585 Class KS, 7.145% 3/15/23 (g)(h)(j) | 471 | 33 | ||
Series 2590 Class YR, 5.5% 9/15/32 (h) | 135 | 18 | ||
Series 2802 Class OB, 6% 5/15/34 (d)(e) | 3,375 | 3,458 | ||
Series 2810 Class PD, 6% 6/15/33 | 2,540 | 2,649 | ||
Series 3077 Class TO, 4/15/35 (i) | 3,993 | 3,168 | ||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | 2,186 | 2,279 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 755 | 794 | ||
Series 2281 Class ZB, 6% 3/15/30 | 912 | 952 | ||
Series 2388 Class ZA, 6% 12/15/31 | 4,725 | 4,901 | ||
Series 2417 Class KZ, 6% 2/15/32 | 1,017 | 1,056 | ||
Series 2502 Class ZC, 6% 9/15/32 | 1,696 | 1,759 | ||
Series 2504 Class Z, 6% 9/15/32 | 1,469 | 1,528 | ||
Series 2564 Class ES, 7.145% 2/15/22 (g)(h)(j) | 757 | 49 | ||
Series 2575 Class ID, 5.5% 8/15/22 (h) | 127 | 11 | ||
Series 2750 Class ZT, 5% 2/15/34 | 2,785 | 2,645 | ||
Series 2817 Class SD, 6.595% 7/15/30 (g)(h)(j) | 1,383 | 89 | ||
Series 3097 Class IA, 5.5% 3/15/33 (h) | 3,677 | 308 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 1658 Class GZ, 7% 1/15/24 | $ 2,111 | $ 2,183 | ||
Series 2587 Class IM, 6.5% 3/15/33 (h) | 1,373 | 176 | ||
Series 2844: | ||||
Class SC, 43.8425% 8/15/24 (g)(j) | 97 | 135 | ||
Class SD, 80.535% 8/15/24 (g)(j) | 141 | 300 | ||
Series 2957 Class SW, 5.545% 4/15/35 (g)(h) | 5,713 | 302 | ||
Series 3002 Class SN, 6.045% 7/15/35 (g)(h)(j) | 5,727 | 415 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
sequential payer Series 2002-42 Class ZA, 6% 6/20/32 | 1,847 | 1,921 | ||
Series 2003-11 Class S, 6.095% 2/16/33 (g)(h)(j) | 4,467 | 337 | ||
Series 2004-32 Class GS, 6.5% 5/16/34 (g)(h)(j) | 1,293 | 102 | ||
TOTAL U.S. GOVERNMENT AGENCY | 139,712 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $201,079) | 181,188 | |||
Commercial Mortgage Securities - 2.1% | ||||
| ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A-6, 7.4181% 2/14/43 (g) | 8,300 | 6,980 | ||
Class PS1, 1.5863% 2/14/43 (g)(h) | 15,229 | 540 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2006-3A: | ||||
Class B1, 1.2738% 10/25/36 (a)(g) | 256 | 79 | ||
Class B2, 1.8238% 10/25/36 (a)(g) | 167 | 49 | ||
Class B3, 3.0738% 10/25/36 (a)(g) | 300 | 67 | ||
Class M4, 0.9038% 10/25/36 (a)(g) | 256 | 111 | ||
Class M5, 0.9538% 10/25/36 (a)(g) | 326 | 130 | ||
Class M6, 1.0338% 10/25/36 (a)(g) | 632 | 237 | ||
Series 2006-4A: | ||||
Class B1, 1.1738% 12/25/36 (a)(g) | 100 | 20 | ||
Class B2, 1.7238% 12/25/36 (a)(g) | 96 | 44 | ||
Class B3, 2.9238% 12/25/36 (a)(g) | 178 | 78 | ||
Series 2007-1: | ||||
Class B1, 1.1438% 3/25/37 (a)(g) | 148 | 52 | ||
Class B2, 1.6238% 3/25/37 (a)(g) | 108 | 34 | ||
Class B3, 3.8238% 3/25/37 (a)(g) | 308 | 90 | ||
Class M1, 0.7438% 3/25/37 (a)(g) | 124 | 67 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2007-1: | ||||
Class M2, 0.7638% 3/25/37 (a)(g) | $ 96 | $ 50 | ||
Class M3, 0.7938% 3/25/37 (a)(g) | 84 | 42 | ||
Class M4, 0.8438% 3/25/37 (a)(g) | 64 | 31 | ||
Class M5, 0.8938% 3/25/37 (a)(g) | 104 | 47 | ||
Class M6, 0.9738% 3/25/37 (a)(g) | 148 | 59 | ||
Series 2007-2A: | ||||
Class B1, 2.0738% 7/25/37 (a)(g) | 115 | 37 | ||
Class B2, 2.7238% 7/25/37 (a)(g) | 98 | 30 | ||
Class B3, 3.8238% 7/25/37 (a)(g) | 111 | 33 | ||
Class M4, 1.1238% 7/25/37 (a)(g) | 142 | 59 | ||
Class M5, 1.2238% 7/25/37 (a)(g) | 129 | 51 | ||
Class M6, 1.4738% 7/25/37 (a)(g) | 160 | 59 | ||
Series 2007-3: | ||||
Class B1, 1.4238% 7/25/37 (a)(g) | 100 | 48 | ||
Class B2, 2.0738% 7/25/37 (a)(g) | 263 | 125 | ||
Class B3, 4.4738% 7/25/37 (a)(g) | 136 | 62 | ||
Class M1, 0.7838% 7/25/37 (a)(g) | 89 | 52 | ||
Class M2, 0.8138% 7/25/37 (a)(g) | 93 | 52 | ||
Class M3, 0.8438% 7/25/37 (a)(g) | 150 | 79 | ||
Class M4, 0.9738% 7/25/37 (a)(g) | 239 | 125 | ||
Class M5, 1.0738% 7/25/37 (a)(g) | 120 | 61 | ||
Class M6, 1.2738% 7/25/37 (a)(g) | 93 | 47 | ||
Series 2007-4A: | ||||
Class B1, 3.0238% 9/25/37 (a)(g) | 136 | 43 | ||
Class B2, 3.9238% 9/25/37 (a)(g) | 504 | 148 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.908% 5/15/35 (a)(g)(h) | 26,920 | 1,063 | ||
Chase Commercial Mortgage Securities Corp. Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 1,110 | 1,072 | ||
Class F, 7.734% 1/15/32 | 600 | 575 | ||
Credit Suisse Commercial Mortgage Trust sequential payer: | ||||
Series 2007-C2 Class A1, 5.269% 1/15/49 | 564 | 550 | ||
Series 2007-C3 Class A1, 5.664% 6/15/39 (g) | 652 | 638 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2006-TF2A: | ||||
Class A2, 1.9613% 7/15/19 (a)(g) | 175 | 35 | ||
Class SHDC, 1.4613% 7/15/19 (a)(g) | 84 | 21 | ||
Series 2006-TFL2 Class SHDD, 1.8113% 7/15/19 (a)(g) | 47 | 10 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Credit Suisse Mortgage Capital Certificates sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40 | $ 684 | $ 668 | ||
GS Mortgage Securities Corp. II floater Series 2007-EOP: | ||||
Class C, 0.765% 3/6/20 (a)(g) | 780 | 499 | ||
Class D, 0.815% 3/6/20 (a)(g) | 235 | 150 | ||
Class F, 0.925% 3/6/20 (a)(g) | 195 | 119 | ||
Class G, 0.965% 3/6/20 (a)(g) | 95 | 57 | ||
Class H, 1.095% 3/6/20 (a)(g) | 160 | 96 | ||
Class J, 1.295% 3/6/20 (a)(g) | 230 | 131 | ||
GS Mortgage Securities Trust sequential payer Series 2007-GG10 Class A1, 5.69% 8/10/45 | 1,110 | 883 | ||
JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 633 | 614 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 402 | 393 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (g) | 568 | 555 | ||
Series 2007-C2 Class A1, 5.226% 2/15/40 | 514 | 502 | ||
Series 2004-C2 Class XCP, 0.8376% 3/15/36 (a)(g)(h) | 62,797 | 1,229 | ||
Series 2007-C1 Class XCP, 0.4751% 2/15/40 (g)(h) | 14,259 | 227 | ||
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer: | ||||
Series 2007-5 Class A1, 4.275% 12/12/11 | 479 | 460 | ||
Series 2007-6 Class A1, 5.175% 3/12/51 | 564 | 549 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $28,796) | 21,014 |
Cash Equivalents - 3.0% | |||
Maturity Amount (000s) | Value (000s) | ||
Investments in repurchase agreements in a joint trading account at 0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # | $ 30,806 | $ 30,805 | |
TOTAL INVESTMENT PORTFOLIO - 142.6% (Cost $1,501,847) | 1,466,639 | ||
NET OTHER ASSETS - (42.6)% | (438,062) | ||
NET ASSETS - 100% | $ 1,028,577 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Sold | |||||
Treasury Contracts | |||||
48 CBOT 2 Year U.S. Treasury Notes Index Contracts | July 2009 | $ 10,397 | $ (5) |
|
The face value of futures sold as a percentage of net assets - 1% |
Swap Agreements | |||||
|
| Notional Amount (000s) | Value (000s) | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 2.22% and pay JPMorgan Chase, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2005-HE3 Class B2, 6.87% 7/25/35 (Rating-Caa2) (f) | August 2035 | $ 1,000 | $ (938) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 2.5425% with Credit Suisse First Boston | Jan. 2019 | $ 530 | $ 35 | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 3.41% with Credit Suisse First Boston | Sept. 2010 | 57,000 | (2,329) | ||
TOTAL INTEREST RATE SWAPS | 57,530 | (2,294) | |||
| $ 58,530 | $ (3,232) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $19,559,000 or 1.9% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) A portion of the security is subject to a forward commitment to sell. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $133,000. |
(e) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $3,915,000. |
(f) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
* Amount represents less than $1,000. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$30,805,000 due 3/02/09 at 0.26% | |
Goldman, Sachs & Co. | $ 12,079 |
UBS Securities LLC | 18,726 |
| $ 30,805 |
Other Information |
The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 1,466,639 | $ - | $ 1,443,311 | $ 23,328 |
Other Financial Instruments* | $ (3,467) | $ (5) | $ (2,524) | $ (938) |
* Other financial instruments include Futures Contracts, Swap Agreements and Forward Commitments. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
(Amounts in thousands) | Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 2,301 | $ (804) |
Total Realized Gain (Loss) | 71 | - * |
Total Unrealized Gain (Loss) | (10,087) | 756 |
Cost of Purchases | 9,218 | - |
Proceeds of Sales | (3,511) | - |
Amortization/Accretion | (1,753) | - |
Transfer in/out of Level 3 | 27,089 | (890) |
Ending Balance | $ 23,328 | $ (938) |
* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(897,000). |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Income Tax Information |
At August 31, 2008, the fund had a capital loss carryforward of approximately $34,825,000 of which $2,470,000, $14,312,000, $3,550,000 and $14,493,000 will expire on August 31, 2013, 2014, 2015 and 2016, respectively. |
The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $107,093,000 of losses recognized during the period November 1, 2007 to August 31, 2008. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $30,805) - See accompanying schedule: Unaffiliated issuers (cost $1,501,847) |
| $ 1,466,639 |
Commitment to sell securities on a delayed delivery basis | $ (303,051) | |
Receivable for securities sold on a delayed delivery basis | 302,821 | (230) |
Receivable for investments sold, regular delivery | 23,417 | |
Cash | 8 | |
Receivable for swap agreements | 4 | |
Receivable for fund shares sold | 593 | |
Interest receivable | 5,483 | |
Other receivables | 114 | |
Unrealized appreciation on swap agreements | 35 | |
Total assets | 1,496,063 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 601 | |
Delayed delivery | 460,377 | |
Payable for swap agreements | 920 | |
Payable for fund shares redeemed | 1,345 | |
Distributions payable | 389 | |
Unrealized depreciation on swap agreements | 3,267 | |
Accrued management fee | 277 | |
Distribution fees payable | 50 | |
Payable for daily variation on futures contracts | 16 | |
Other affiliated payables | 128 | |
Other payables and accrued expenses | 116 | |
Total liabilities | 467,486 | |
|
|
|
Net Assets | $ 1,028,577 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,204,419 | |
Distributions in excess of net investment income | (6,099) | |
Accumulated undistributed net realized gain (loss) on investments | (131,068) | |
Net unrealized appreciation (depreciation) on investments | (38,675) | |
Net Assets | $ 1,028,577 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | February 28, 2009 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($44,431 ÷ 4,438 shares) | $ 10.01 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.01) | $ 10.43 | |
Class T: | $ 10.03 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.03) | $ 10.45 | |
Class B: | $ 10.01 | |
|
|
|
Class C: | $ 10.00 | |
|
|
|
Fidelity Mortgage Securities Fund: | $ 10.03 | |
|
|
|
Institutional Class: | $ 10.00 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended February 28, 2009 (Unaudited) | |
|
|
|
Investment Income |
|
|
Interest |
| $ 29,298 |
|
|
|
Expenses | ||
Management fee | $ 1,750 | |
Transfer agent fees | 645 | |
Distribution fees | 309 | |
Fund wide operations fee | 162 | |
Independent trustees' compensation | 2 | |
Miscellaneous | 5 | |
Total expenses before reductions | 2,873 | |
Expense reductions | (1) | 2,872 |
Net investment income | 26,426 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 11,233 | |
Futures contracts | (539) | |
Swap agreements | (781) |
|
Total net realized gain (loss) |
| 9,913 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (17,972) | |
Futures contracts | 99 | |
Swap agreements | (1,225) | |
Delayed delivery commitments | 1,326 |
|
Total change in net unrealized appreciation (depreciation) |
| (17,772) |
Net gain (loss) | (7,859) | |
Net increase (decrease) in net assets resulting from operations | $ 18,567 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 26,426 | $ 65,979 |
Net realized gain (loss) | 9,913 | (102,798) |
Change in net unrealized appreciation (depreciation) | (17,772) | 41,977 |
Net increase (decrease) in net assets resulting from operations | 18,567 | 5,158 |
Distributions to shareholders from net investment income | (27,059) | (68,876) |
Share transactions - net increase (decrease) | (146,241) | (404,510) |
Total increase (decrease) in net assets | (154,733) | (468,228) |
|
|
|
Net Assets | ||
Beginning of period | 1,183,310 | 1,651,538 |
End of period (including distributions in excess of net investment income of $6,099 and distributions in excess of net investment income of $5,466, respectively) | $ 1,028,577 | $ 1,183,310 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.33 | $ 11.30 | $ 11.26 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .226 | .467 | .521 | .404 | .408 | .365 | .282 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.401) | (.021) | (.267) | .181 | .112 |
Total from investment operations | .153 | .006 | .120 | .383 | .141 | .546 | .394 |
Distributions from net investment income | (.233) | (.486) | (.520) | (.403) | (.421) | (.366) | (.274) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.233) | (.486) | (.520) | (.403) | (.481) | (.516) | (.354) |
Net asset value, end of period | $ 10.01 | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.33 | $ 11.30 |
Total Return B, C, D | 1.54% | .06% | 1.04% | 3.56% | 1.26% | 4.97% | 3.56% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | .86% A | .85% | .79% | .74% A | .82% | .86% | .81% |
Expenses net of fee waivers, if any | .86% A | .85% | .79% | .74% A | .82% | .86% | .81% |
Expenses net of all reductions | .86% A | .85% | .78% | .74% A | .82% | .86% | .81% |
Net investment income | 4.54% A | 4.52% | 4.77% | 4.44% A | 3.65% | 3.24% | 2.51% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 44 | $ 39 | $ 54 | $ 54 | $ 50 | $ 55 | $ 69 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class T
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.00 | $ 11.34 | $ 11.31 | $ 11.28 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .227 | .470 | .519 | .399 | .400 | .353 | .270 |
Net realized and unrealized gain (loss) | (.074) | (.462) | (.403) | (.012) | (.268) | .181 | .101 |
Total from investment operations | .153 | .008 | .116 | .387 | .132 | .534 | .371 |
Distributions from net investment income | (.233) | (.488) | (.516) | (.397) | (.412) | (.354) | (.261) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.233) | (.488) | (.516) | (.397) | (.472) | (.504) | (.341) |
Net asset value, end of period | $ 10.03 | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.00 | $ 11.34 | $ 11.31 |
Total Return B, C, D | 1.54% | .07% | 1.01% | 3.59% | 1.18% | 4.86% | 3.34% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Expenses net of fee waivers, if any | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Expenses net of all reductions | .86% A | .83% | .82% | .81% A | .89% | .96% | .93% |
Net investment income | 4.54% A | 4.53% | 4.73% | 4.37% A | 3.57% | 3.14% | 2.39% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 39 | $ 41 | $ 68 | $ 89 | $ 126 | $ 131 | $ 155 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class B
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .194 | .400 | .443 | .336 | .323 | .278 | .197 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.401) | (.022) | (.257) | .172 | .112 |
Total from investment operations | .121 | (.061) | .042 | .314 | .066 | .450 | .309 |
Distributions from net investment income | (.201) | (.419) | (.442) | (.334) | (.336) | (.280) | (.189) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.201) | (.419) | (.442) | (.334) | (.396) | (.430) | (.269) |
Net asset value, end of period | $ 10.01 | $ 10.09 | $ 10.57 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 |
Total Return B, C, D | 1.21% | (.58)% | .32% | 2.91% | .58% | 4.08% | 2.78% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Expenses net of fee waivers, if any | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Expenses net of all reductions | 1.51% A | 1.50% | 1.50% | 1.50% A | 1.58% | 1.63% | 1.57% |
Net investment income | 3.89% A | 3.86% | 4.05% | 3.68% A | 2.89% | 2.48% | 1.75% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 25 | $ 32 | $ 50 | $ 74 | $ 101 | $ 134 | $ 182 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class C
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 F | 2005 H | 2004 H | 2003 H | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.08 | $ 10.56 | $ 10.96 | $ 10.98 | $ 11.31 | $ 11.29 | $ 11.25 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .188 | .389 | .434 | .328 | .316 | .273 | .189 |
Net realized and unrealized gain (loss) | (.072) | (.459) | (.401) | (.021) | (.257) | .172 | .112 |
Total from investment operations | .116 | (.070) | .033 | .307 | .059 | .445 | .301 |
Distributions from net investment income | (.196) | (.410) | (.433) | (.327) | (.329) | (.275) | (.181) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.196) | (.410) | (.433) | (.327) | (.389) | (.425) | (.261) |
Net asset value, end of period | $ 10.00 | $ 10.08 | $ 10.56 | $ 10.96 | $ 10.98 | $ 11.31 | $ 11.29 |
Total Return B, C, D | 1.17% | (.68)% | .25% | 2.85% | .52% | 4.04% | 2.71% |
Ratios to Average Net Assets G |
|
|
|
|
|
|
|
Expenses before reductions | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Expenses net of fee waivers, if any | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Expenses net of all reductions | 1.61% A | 1.60% | 1.58% | 1.57% A | 1.64% | 1.68% | 1.64% |
Net investment income | 3.79% A | 3.77% | 3.97% | 3.61% A | 2.82% | 2.42% | 1.68% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 16 | $ 15 | $ 23 | $ 31 | $ 41 | $ 58 | $ 99 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. H For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Fidelity Mortgage Securities Fund
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 E | 2005 G | 2004 G | 2003 G | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .247 | .509 | .559 | .432 | .438 | .390 | .306 |
Net realized and unrealized gain (loss) | (.074) | (.462) | (.403) | (.023) | (.257) | .183 | .102 |
Total from investment operations | .173 | .047 | .156 | .409 | .181 | .573 | .408 |
Distributions from net investment income | (.253) | (.527) | (.556) | (.429) | (.451) | (.393) | (.298) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.253) | (.527) | (.556) | (.429) | (.511) | (.543) | (.378) |
Net asset value, end of period | $ 10.03 | $ 10.11 | $ 10.59 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 |
Total Return B, C | 1.74% | .46% | 1.38% | 3.80% | 1.61% | 5.21% | 3.68% |
Ratios to Average Net Assets F |
|
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% A | .55% | .62% | .60% |
Net investment income | 4.94% A | 4.91% | 5.10% | 4.73% A | 3.91% | 3.48% | 2.72% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 896 | $ 1,049 | $ 1,446 | $ 1,612 | $ 1,807 | $ 1,525 | $ 1,302 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. G For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 E | 2005 G | 2004 G | 2003 G | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.08 | $ 10.56 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .242 | .499 | .548 | .424 | .432 | .387 | .302 |
Net realized and unrealized gain (loss) | (.073) | (.461) | (.411) | (.011) | (.266) | .182 | .112 |
Total from investment operations | .169 | .038 | .137 | .413 | .166 | .569 | .414 |
Distributions from net investment income | (.249) | (.518) | (.547) | (.423) | (.446) | (.389) | (.294) |
Distributions from net realized gain | - | - | - | - | (.060) | (.150) | (.080) |
Total distributions | (.249) | (.518) | (.547) | (.423) | (.506) | (.539) | (.374) |
Net asset value, end of period | $ 10.00 | $ 10.08 | $ 10.56 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 |
Total Return B, C | 1.71% | .37% | 1.20% | 3.85% | 1.48% | 5.19% | 3.75% |
Ratios to Average Net Assets F |
|
|
|
|
|
|
|
Expenses before reductions | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Expenses net of fee waivers, if any | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Expenses net of all reductions | .53% A | .54% | .53% | .52% A | .60% | .66% | .63% |
Net investment income | 4.87% A | 4.83% | 5.02% | 4.66% A | 3.87% | 3.45% | 2.69% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 8 | $ 7 | $ 10 | $ 14 | $ 16 | $ 13 | $ 16 |
Portfolio turnover rate | 473% A | 397% | 409% | 232% A | 183% | 204% | 356% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. G For the period ended October 31. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2009 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Fidelity Mortgage Securities Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Security Valuation - continued
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 26,595 |
Unrealized depreciation | (61,807) |
Net unrealized appreciation (depreciation) | $ (35,212) |
Cost for federal income tax purposes | $ 1,501,851 |
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Operating Policies - continued
Swap Agreements - continued
losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event
Semiannual Report
3. Operating Policies - continued
Swap Agreements - continued
may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $1,000 representing 0.0% of net assets.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $31,179 and $51,239, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20%
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
5. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 53 | $ 4 |
Class T | 0% | .25% | 51 | 1 |
Class B | .65% | .25% | 127 | 92 |
Class C | .75% | .25% | 78 | 5 |
|
|
| $ 309 | $ 102 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, ..75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 2 |
Class T | 1 |
Class B* | 20 |
Class C* | 2 |
| $ 25 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund. FIIOC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, each class paid the following transfer agent fees:
| Amount | % of |
Class A | $ 53 | .25 |
Class T | 51 | .25 |
Class B | 35 | .25 |
Class C | 19 | .25 |
Fidelity Mortgage Securities Fund | 479 | .10 |
Institutional Class | 8 | .18 |
| $ 645 |
|
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $1.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 988 | $ 2,205 |
Class T | 944 | 2,500 |
Class B | 559 | 1,654 |
Class C | 305 | 733 |
Fidelity Mortgage Securities Fund | 24,054 | 61,360 |
Institutional Class | 209 | 424 |
Total | $ 27,059 | $ 68,876 |
9. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class A |
|
|
|
|
Shares sold | 1,323 | 1,233 | $ 13,269 | $ 12,720 |
Reinvestment of distributions | 82 | 189 | 825 | 1,952 |
Shares redeemed | (853) | (2,645) | (8,577) | (27,288) |
Net increase (decrease) | 552 | (1,223) | $ 5,517 | $ (12,616) |
Class T |
|
|
|
|
Shares sold | 756 | 652 | $ 7,676 | $ 6,745 |
Reinvestment of distributions | 88 | 227 | 881 | 2,348 |
Shares redeemed | (945) | (3,306) | (9,499) | (34,313) |
Net increase (decrease) | (101) | (2,427) | $ (942) | $ (25,220) |
Class B |
|
|
|
|
Shares sold | 114 | 74 | $ 1,147 | $ 761 |
Reinvestment of distributions | 47 | 133 | 470 | 1,376 |
Shares redeemed | (812) | (1,820) | (8,157) | (18,803) |
Net increase (decrease) | (651) | (1,613) | $ (6,540) | $ (16,666) |
Semiannual Report
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended February 28, | Year ended | Six months ended February 28, | Year ended | |
Class C |
|
|
|
|
Shares sold | 418 | 130 | $ 4,222 | $ 1,330 |
Reinvestment of distributions | 24 | 57 | 235 | 589 |
Shares redeemed | (314) | (838) | (3,153) | (8,656) |
Net increase (decrease) | 128 | (651) | $ 1,304 | $ (6,737) |
Fidelity Mortgage Securities Fund |
|
|
|
|
Shares sold | 6,701 | 12,801 | $ 67,565 | $ 131,962 |
Reinvestment of distributions | 2,218 | 5,511 | 22,222 | 57,031 |
Shares redeemed | (23,384) | (51,088) | (235,660) | (529,926) |
Net increase (decrease) | (14,465) | (32,776) | $ (145,873) | $ (340,933) |
Institutional Class |
|
|
|
|
Shares sold | 391 | 224 | $ 3,934 | $ 2,294 |
Reinvestment of distributions | 15 | 32 | 149 | 335 |
Shares redeemed | (378) | (482) | (3,790) | (4,967) |
Net increase (decrease) | 28 | (226) | $ 293 | $ (2,338) |
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Semiannual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
For mutual fund and brokerage trading.
For quotes.*
For account balances and holdings.
To review orders and mutual
fund activity.
To change your PIN.
To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Semiannual Report
To Visit Fidelity
For directions and hours,
please call 1-800-544-9797.
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Semiannual Report
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Semiannual Report
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Semiannual Report
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MOR-USAN-0409 1.784900.106
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Short Fixed-Income
Fund - Class A, Class T, Class B and Class C
Semiannual Report
February 28, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
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To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that in the underlying Fidelity Central Funds, will indirectly bear its pro appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholderrata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .79% |
|
|
|
Actual |
| $ 1,000.00 | $ 981.10 | $ 3.88 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.88 | $ 3.96 |
Class T | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 981.20 | $ 3.78 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
Class B | 1.55% |
|
|
|
Actual |
| $ 1,000.00 | $ 972.90 | $ 7.58 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | 1.60% |
|
|
|
Actual |
| $ 1,000.00 | $ 976.10 | $ 7.84 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.86 | $ 8.00 |
Institutional Class | .54% |
|
|
|
Actual |
| $ 1,000.00 | $ 985.70 | $ 2.66 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.12 | $ 2.71 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following table is based on the combined investments of the Fund and its pro-rata share of the investments in each non-money market Fidelity Central Fund.
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2009 | As of August 31, 2008 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 8.7% |
| ![]() | AAA 12.6% |
| ||
![]() | AA 4.4% |
| ![]() | AA 4.9% |
| ||
![]() | A 6.9% |
| ![]() | A 7.8% |
| ||
![]() | BBB 9.8% |
| ![]() | BBB 13.4% |
| ||
![]() | BB and Below 1.3% |
| ![]() | BB and Below 0.8% |
| ||
![]() | Not Rated 0.3% |
| ![]() | Not Rated 0.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. |
Weighted Average Maturity as of February 28, 2009 | ||
|
| 6 months ago |
Years | 2.3 | 1.8 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of February 28, 2009 | ||
|
| 6 months ago |
Years | 1.7 | 1.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2009* | As of August 31, 2008** | ||||||
![]() | Corporate Bonds 14.8% |
| ![]() | Corporate Bonds 16.5% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
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![]() | Asset-Backed |
| ![]() | Asset-Backed |
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![]() | CMOs and Other Mortgage Related Securities 7.3% |
| ![]() | CMOs and Other Mortgage Related Securities 10.2% |
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![]() | Short-Term |
| ![]() | Short-Term |
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* Foreign investments | 4.4% |
| ** Foreign investments | 6.4% |
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* Futures and Swaps | 8.1% |
| ** Futures and Swaps | 16.1% |
|
† Short-Term Investments and Net Other Assets are not included in the pie chart. | |||||||
†† Includes FDIC Guaranteed Corporate Securities |
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.
Semiannual Report
Investments February 28, 2009
Showing Percentage of Net Assets
Nonconvertible Bonds - 14.8% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 1.1% | ||||
Auto Components - 0.4% | ||||
DaimlerChrysler NA Holding Corp. 5.75% 8/10/09 | $ 4,820,000 | $ 4,786,877 | ||
Media - 0.7% | ||||
AOL Time Warner, Inc. 6.75% 4/15/11 | 1,000,000 | 1,014,834 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 2,645,000 | 2,740,725 | ||
Comcast Corp. 5.85% 1/15/10 | 2,000,000 | 2,024,738 | ||
Time Warner Cable, Inc. 5.4% 7/2/12 | 1,245,000 | 1,197,806 | ||
Viacom, Inc. 5.75% 4/30/11 | 860,000 | 833,955 | ||
| 7,812,058 | |||
TOTAL CONSUMER DISCRETIONARY | 12,598,935 | |||
CONSUMER STAPLES - 0.2% | ||||
Food Products - 0.2% | ||||
Kraft Foods, Inc. 5.625% 8/11/10 | 2,810,000 | 2,886,997 | ||
ENERGY - 1.2% | ||||
Oil, Gas & Consumable Fuels - 1.2% | ||||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (e) | 1,865,000 | 1,854,312 | ||
Chevron Corp. 3.45% 3/3/12 | 3,121,000 | 3,128,703 | ||
Delek & Avner-Yam Tethys Ltd. 5.326% 8/1/13 (e) | 2,092,117 | 1,956,925 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 2,045,000 | 2,045,000 | ||
7.5% 10/1/09 | 1,525,000 | 1,553,783 | ||
Enterprise Products Operating LP 4.625% 10/15/09 | 3,070,000 | 3,054,963 | ||
Petroleum Export Ltd.: | ||||
4.623% 6/15/10 (e) | 505,000 | 467,600 | ||
4.633% 6/15/10 (e) | 303,333 | 280,890 | ||
| 14,342,176 | |||
FINANCIALS - 5.1% | ||||
Capital Markets - 1.0% | ||||
Bear Stearns Companies, Inc.: | ||||
3.25% 3/25/09 | 1,565,000 | 1,565,059 | ||
5.85% 7/19/10 | 4,015,000 | 4,049,401 | ||
Credit Suisse USA, Inc. 0.5275% 6/5/09 (j) | 2,875,000 | 2,852,630 | ||
Janus Capital Group, Inc. 6.125% 9/15/11 | 955,000 | 668,353 | ||
Morgan Stanley: | ||||
5.05% 1/21/11 | 1,283,000 | 1,265,310 | ||
6.75% 4/15/11 | 1,695,000 | 1,701,946 | ||
| 12,102,699 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Commercial Banks - 1.6% | ||||
American Express Bank FSB 0.5369% 4/26/10 (j) | $ 1,576,000 | $ 1,470,025 | ||
Bank of America NA 1.8219% 5/12/10 (j) | 2,350,000 | 2,295,957 | ||
Bank One Corp. 7.875% 8/1/10 | 885,000 | 913,184 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 1,990,000 | 2,036,705 | ||
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (e)(j) | 147,614 | 116,615 | ||
HSBC Holdings PLC: | ||||
1.6125% 10/6/16 (j) | 145,000 | 116,276 | ||
7.5% 7/15/09 | 1,215,000 | 1,220,458 | ||
Korea Development Bank 3.875% 3/2/09 | 1,600,000 | 1,600,000 | ||
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (e)(j) | 91,476 | 76,528 | ||
National Australia Bank Ltd. 8.6% 5/19/10 | 1,260,000 | 1,299,851 | ||
Santander Issuances SA Unipersonal 1.885% 6/20/16 (e)(j) | 442,865 | 333,450 | ||
Sovereign Bank 2.88% 8/1/13 (j) | 207,598 | 154,820 | ||
US Bancorp 4.5% 7/29/10 | 1,120,000 | 1,131,342 | ||
Wachovia Corp. 1.2244% 10/15/11 (j) | 1,598,000 | 1,417,824 | ||
Wells Fargo & Co. 3.98% 10/29/10 | 5,710,000 | 5,555,636 | ||
| 19,738,671 | |||
Consumer Finance - 0.8% | ||||
Capital One Financial Corp. 2.4694% 9/10/09 (j) | 1,576,000 | 1,517,447 | ||
Household Finance Corp.: | ||||
4.125% 11/16/09 | 2,280,000 | 2,261,117 | ||
4.75% 5/15/09 | 1,563,000 | 1,565,012 | ||
MBNA Capital I 8.278% 12/1/26 | 1,200,000 | 660,000 | ||
Nelnet, Inc.: | ||||
5.125% 6/1/10 | 550,000 | 333,398 | ||
7.4% 9/29/36 (j) | 2,860,000 | 429,000 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (e) | 2,090,000 | 1,963,674 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (e) | 638,108 | 543,058 | ||
| 9,272,706 | |||
Diversified Financial Services - 0.6% | ||||
Bank of America Corp.: | ||||
4.375% 12/1/10 | 859,000 | 799,845 | ||
7.4% 1/15/11 | 275,000 | 255,305 | ||
7.8% 2/15/10 | 522,000 | 495,783 | ||
BTM Curacao Holding NV 1.8975% 12/19/16 (e)(j) | 239,868 | 185,359 | ||
Citigroup Funding, Inc. 0.4731% 4/23/09 (j) | 1,125,000 | 1,111,368 | ||
Citigroup, Inc. 1.3356% 5/18/11 (j) | 1,200,000 | 1,003,985 | ||
Iberbond 2004 PLC 4.826% 12/24/17 (m) | 2,198,532 | 1,780,811 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
ICB OJSC 6.2% 9/29/15 (Issued by Or-ICB for ICB OJSC) (j) | $ 270,000 | $ 146,679 | ||
JPMorgan Chase & Co. 4.891% 9/1/15 (j) | 2,440,000 | 1,959,647 | ||
| 7,738,782 | |||
Insurance - 0.2% | ||||
Metropolitan Life Global Funding I 2.2163% 6/25/10 (e)(j) | 2,105,000 | 1,999,540 | ||
Real Estate Investment Trusts - 0.7% | ||||
Brandywine Operating Partnership LP 5.625% 12/15/10 | 2,910,000 | 2,570,505 | ||
Colonial Properties Trust 4.75% 2/1/10 | 1,245,000 | 1,190,434 | ||
Developers Diversified Realty Corp. 5% 5/3/10 | 1,310,000 | 917,000 | ||
Duke Realty LP: | ||||
5.25% 1/15/10 | 615,000 | 586,364 | ||
5.625% 8/15/11 | 915,000 | 779,586 | ||
6.95% 3/15/11 | 719,000 | 636,178 | ||
Mack-Cali Realty LP 7.25% 3/15/09 | 520,000 | 519,077 | ||
Simon Property Group LP 4.6% 6/15/10 | 1,130,000 | 1,082,496 | ||
| 8,281,640 | |||
Thrifts & Mortgage Finance - 0.2% | ||||
Countrywide Home Loans, Inc. 4.125% 9/15/09 | 1,163,000 | 1,152,317 | ||
Independence Community Bank Corp. 3.585% 6/20/13 (j) | 1,123,347 | 808,810 | ||
| 1,961,127 | |||
TOTAL FINANCIALS | 61,095,165 | |||
HEALTH CARE - 0.3% | ||||
Health Care Providers & Services - 0.2% | ||||
UnitedHealth Group, Inc.: | ||||
4.125% 8/15/09 | 675,000 | 675,128 | ||
5.125% 11/15/10 | 1,643,000 | 1,619,388 | ||
| 2,294,516 | |||
Pharmaceuticals - 0.1% | ||||
Roche Holdings, Inc. 4.5% 3/1/12 (e) | 1,600,000 | 1,626,298 | ||
TOTAL HEALTH CARE | 3,920,814 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INDUSTRIALS - 1.7% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (e) | $ 2,600,000 | $ 2,593,872 | ||
Air Freight & Logistics - 0.3% | ||||
FedEx Corp. 5.5% 8/15/09 | 3,900,000 | 3,934,468 | ||
Airlines - 0.5% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.855% 10/15/10 | 110,680 | 109,020 | ||
6.978% 10/1/12 | 46,555 | 43,063 | ||
7.024% 4/15/11 | 2,000,000 | 1,940,000 | ||
Continental Airlines, Inc. 7.056% 3/15/11 | 749,000 | 726,530 | ||
Delta Air Lines, Inc. pass-thru trust certificates 7.57% 11/18/10 | 1,645,000 | 1,505,175 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
6.071% 9/1/14 | 266,743 | 258,740 | ||
6.201% 3/1/10 | 216,822 | 204,897 | ||
6.602% 9/1/13 | 525,364 | 496,469 | ||
7.186% 10/1/12 | 651,521 | 623,832 | ||
| 5,907,726 | |||
Building Products - 0.0% | ||||
Masco Corp. 2.3988% 3/12/10 (j) | 338,969 | 304,104 | ||
Commercial Services & Supplies - 0.3% | ||||
R.R. Donnelley & Sons Co.: | ||||
3.75% 4/1/09 | 1,265,000 | 1,260,597 | ||
5.625% 1/15/12 | 3,030,000 | 2,671,536 | ||
| 3,932,133 | |||
Industrial Conglomerates - 0.4% | ||||
Covidien International Finance SA 5.15% 10/15/10 | 2,900,000 | 2,969,385 | ||
Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (e) | 980,000 | 1,005,200 | ||
| 3,974,585 | |||
TOTAL INDUSTRIALS | 20,646,888 | |||
INFORMATION TECHNOLOGY - 0.2% | ||||
Computers & Peripherals - 0.2% | ||||
Hewlett-Packard Co. 4.25% 2/24/12 | 1,820,000 | 1,842,512 | ||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
National Semiconductor Corp. 2.2463% 6/15/10 (j) | 393,509 | 341,842 | ||
TOTAL INFORMATION TECHNOLOGY | 2,184,354 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
TELECOMMUNICATION SERVICES - 2.9% | ||||
Diversified Telecommunication Services - 2.1% | ||||
Ameritech Capital Funding Corp. 6.25% 5/18/09 | $ 1,765,000 | $ 1,775,611 | ||
BellSouth Corp. 4.2% 9/15/09 | 1,775,000 | 1,795,610 | ||
Deutsche Telekom International Financial BV 5.375% 3/23/11 | 4,000,000 | 4,086,044 | ||
SBC Communications, Inc. 5.875% 2/1/12 | 486,000 | 502,184 | ||
Telecom Italia Capital SA 4% 1/15/10 | 4,770,000 | 4,687,116 | ||
Telefonica Emisiones SAU 5.984% 6/20/11 | 4,000,000 | 4,137,596 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 2,455,000 | 2,479,550 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 3,435,000 | 3,627,374 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 1,475,000 | 1,516,793 | ||
| 24,607,878 | |||
Wireless Telecommunication Services - 0.8% | ||||
America Movil SAB de CV 4.125% 3/1/09 | 3,925,000 | 3,925,000 | ||
Verizon Wireless Capital LLC 5.25% 2/1/12 (e) | 1,252,000 | 1,234,202 | ||
Vodafone Group PLC: | ||||
5.5% 6/15/11 | 3,380,000 | 3,427,641 | ||
7.75% 2/15/10 | 950,000 | 987,376 | ||
| 9,574,219 | |||
TOTAL TELECOMMUNICATION SERVICES | 34,182,097 | |||
UTILITIES - 2.1% | ||||
Electric Utilities - 1.1% | ||||
Commonwealth Edison Co. 5.4% 12/15/11 | 992,000 | 1,008,844 | ||
Entergy Corp. 7.75% 12/15/09 (e) | 2,500,000 | 2,396,203 | ||
Exelon Corp. 4.45% 6/15/10 | 3,750,000 | 3,713,591 | ||
Pepco Holdings, Inc. 4% 5/15/10 | 1,125,000 | 1,099,451 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 2,181,000 | 2,240,266 | ||
Southern Co. 1.9513% 8/20/10 (j) | 2,505,000 | 2,441,123 | ||
| 12,899,478 | |||
Independent Power Producers & Energy Traders - 0.4% | ||||
Constellation Energy Group, Inc. 6.125% 9/1/09 | 3,035,000 | 3,036,942 | ||
PSEG Power LLC 3.75% 4/1/09 | 1,415,000 | 1,415,218 | ||
| 4,452,160 | |||
Multi-Utilities - 0.6% | ||||
Dominion Resources, Inc.: | ||||
2.9213% 6/17/10 (j) | 1,505,000 | 1,459,585 | ||
6.3% 9/30/66 (j) | 1,680,000 | 991,200 | ||
DTE Energy Co. 7.05% 6/1/11 | 1,600,000 | 1,614,946 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
KeySpan Corp. 7.625% 11/15/10 | $ 790,000 | $ 823,415 | ||
NiSource Finance Corp. 7.875% 11/15/10 | 780,000 | 763,912 | ||
NSTAR 8% 2/15/10 | 715,000 | 743,078 | ||
Sempra Energy 4.75% 5/15/09 | 1,055,000 | 1,055,093 | ||
| 7,451,229 | |||
TOTAL UTILITIES | 24,802,867 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $184,306,366) | 176,660,293 | |||
U.S. Government and Government Agency Obligations - 58.0% | ||||
| ||||
U.S. Government Agency Obligations - 18.9% | ||||
Fannie Mae: | ||||
0% 9/25/09 | 14,920,000 | 14,869,391 | ||
1.75% 3/23/11 | 31,250,000 | 31,295,938 | ||
2% 1/9/12 | 23,230,000 | 23,333,699 | ||
2.75% 2/5/14 | 3,063,000 | 3,061,919 | ||
3% 7/12/10 | 53,000,000 | 54,110,774 | ||
3.625% 8/15/11 | 12,000,000 | 12,599,448 | ||
Freddie Mac: | ||||
1.5% 1/7/11 | 75,303,000 | 75,235,980 | ||
2.125% 3/23/12 | 12,185,000 | 12,175,106 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 226,682,255 | |||
U.S. Treasury Obligations - 38.0% | ||||
U.S. Treasury Notes: | ||||
0.875% 1/31/11 (d)(n) | 161,691,000 | 161,343,002 | ||
0.875% 2/28/11 (n) | 21,384,000 | 21,314,107 | ||
1.125% 12/15/11 | 68,378,000 | 68,020,110 | ||
1.25% 11/30/10 | 63,447,000 | 63,744,566 | ||
1.375% 2/15/12 | 12,000,000 | 11,987,760 | ||
1.75% 11/15/11 | 11,568,000 | 11,705,428 | ||
4.625% 8/31/11 | 14,209,000 | 15,407,884 | ||
4.875% 5/31/11 (g)(h) | 86,098,000 | 93,275,043 | ||
4.875% 7/31/11 | 6,861,000 | 7,468,308 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 454,266,208 | |||
U.S. Government and Government Agency Obligations - continued | ||||
|
| Principal Amount | Value | |
Other Government Related - 1.1% | ||||
Bank of America Corp. 1.4744% 4/30/12 | $ 1,000,000 | $ 1,004,479 | ||
Goldman Sachs Group, Inc.: | ||||
1.4913% 11/9/11 (FDIC Guaranteed) (f)(j) | 4,220,000 | 4,214,311 | ||
1.625% 7/15/11 (FDIC Guaranteed) (f) | 2,120,000 | 2,109,470 | ||
JPMorgan Chase & Co. 1.65% 2/23/11 | 4,010,000 | 4,011,091 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (f) | 2,140,000 | 2,206,135 | ||
TOTAL OTHER GOVERNMENT RELATED | 13,545,486 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $690,381,662) | 694,493,949 | |||
U.S. Government Agency - Mortgage Securities - 8.0% | ||||
| ||||
Fannie Mae - 6.6% | ||||
4.082% 6/1/35 (j) | 251,976 | 253,566 | ||
4.175% 5/1/35 (j) | 1,100,695 | 1,105,259 | ||
4.263% 7/1/35 (j) | 213,801 | 215,895 | ||
4.291% 5/1/33 (j) | 25,872 | 26,084 | ||
4.303% 3/1/33 (j) | 54,501 | 55,400 | ||
4.318% 7/1/35 (j) | 338,552 | 341,961 | ||
4.331% 2/1/35 (j) | 391,353 | 393,904 | ||
4.34% 1/1/35 (j) | 125,926 | 128,011 | ||
4.361% 10/1/37 (j) | 694,042 | 707,302 | ||
4.376% 2/1/35 (j) | 912,424 | 926,660 | ||
4.38% 7/1/33 (j) | 642,775 | 653,808 | ||
4.405% 8/1/35 (j) | 186,021 | 187,568 | ||
4.423% 5/1/35 (j) | 64,309 | 65,250 | ||
4.43% 6/1/35 (j) | 651,121 | 658,051 | ||
4.432% 3/1/35 (j) | 182,064 | 185,008 | ||
4.455% 2/1/35 (j) | 1,295,780 | 1,314,087 | ||
4.456% 7/1/35 (j) | 3,213,080 | 3,197,563 | ||
4.487% 10/1/33 (j) | 968,055 | 968,389 | ||
4.548% 10/1/33 (j) | 82,508 | 83,306 | ||
4.55% 10/1/35 (j) | 1,506,202 | 1,525,812 | ||
4.552% 5/1/35 (j) | 1,955,206 | 1,992,200 | ||
4.562% 6/1/33 (j) | 1,142,178 | 1,167,042 | ||
4.576% 7/1/35 (j) | 1,740,987 | 1,774,526 | ||
4.6% 10/1/33 (j) | 89,527 | 89,761 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
4.649% 10/1/35 (j) | $ 233,098 | $ 235,205 | ||
4.667% 7/1/35 (j) | 385,783 | 393,160 | ||
4.686% 10/1/34 (j) | 576,981 | 581,742 | ||
4.688% 7/1/35 (j) | 561,349 | 572,465 | ||
4.701% 11/1/35 (j) | 738,331 | 755,604 | ||
4.739% 8/1/35 (j) | 643,955 | 653,545 | ||
4.742% 12/1/34 (j) | 98,409 | 99,521 | ||
4.747% 4/1/35 (j) | 39,034 | 39,663 | ||
4.77% 7/1/35 (j) | 5,996,258 | 6,126,536 | ||
4.784% 8/1/35 (j) | 309,115 | 316,268 | ||
4.785% 2/1/36 (j) | 1,867,869 | 1,912,129 | ||
4.792% 1/1/35 (j) | 74,678 | 75,765 | ||
4.806% 11/1/34 (j) | 294,241 | 297,976 | ||
4.81% 2/1/36 (j) | 123,014 | 124,829 | ||
4.853% 1/1/35 (j) | 673,957 | 684,228 | ||
4.893% 2/1/36 (j) | 9,015,167 | 9,217,143 | ||
4.919% 7/1/35 (j) | 1,304,613 | 1,333,585 | ||
4.935% 7/1/34 (j) | 392,168 | 399,296 | ||
4.98% 5/1/35 (j) | 299,565 | 301,715 | ||
4.987% 7/1/35 (j) | 6,497,213 | 6,609,517 | ||
5% 3/1/18 to 6/1/18 | 1,986,940 | 2,057,800 | ||
5.003% 9/1/34 (j) | 1,436,931 | 1,455,558 | ||
5.042% 3/1/37 (j) | 677,554 | 689,549 | ||
5.053% 7/1/35 (j) | 1,574,838 | 1,612,112 | ||
5.089% 9/1/34 (j) | 109,536 | 110,755 | ||
5.125% 5/1/36 (j) | 610,501 | 623,667 | ||
5.141% 5/1/35 (j) | 73,383 | 74,861 | ||
5.156% 9/1/35 (j) | 3,631,459 | 3,726,306 | ||
5.157% 9/1/35 (j) | 2,081,588 | 2,136,031 | ||
5.16% 10/1/18 (j) | 44,697 | 45,245 | ||
5.185% 3/1/35 (j) | 60,870 | 61,963 | ||
5.193% 6/1/35 (j) | 400,396 | 403,903 | ||
5.198% 3/1/35 (j) | 65,977 | 66,299 | ||
5.331% 10/1/35 (j) | 387,705 | 398,744 | ||
5.379% 11/1/35 (j) | 567,381 | 584,961 | ||
5.496% 2/1/35 (j) | 20,437 | 20,629 | ||
5.5% 7/1/13 to 6/1/19 | 7,460,282 | 7,777,481 | ||
5.51% 11/1/36 (j) | 687,712 | 700,792 | ||
5.557% 5/1/36 (j) | 1,634,326 | 1,697,950 | ||
6.192% 2/1/35 (j) | 60,253 | 61,287 | ||
6.5% 6/1/11 to 3/1/35 | 5,261,462 | 5,538,233 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
7% 1/1/16 to 6/1/32 | $ 519,547 | $ 551,895 | ||
7.5% 5/1/12 to 10/1/14 | 50,284 | 53,059 | ||
11.5% 11/1/15 | 15,443 | 16,073 | ||
TOTAL FANNIE MAE | 79,211,458 | |||
Freddie Mac - 1.3% | ||||
3.456% 2/1/34 (j) | 99,766 | 99,662 | ||
3.883% 1/1/35 (j) | 210,703 | 212,476 | ||
4.275% 6/1/35 (j) | 176,565 | 179,080 | ||
4.315% 12/1/34 (j) | 145,811 | 148,172 | ||
4.361% 2/1/35 (j) | 171,124 | 173,444 | ||
4.407% 3/1/35 (j) | 180,340 | 182,977 | ||
4.422% 4/1/35 (j) | 921,618 | 935,291 | ||
4.471% 3/1/35 (j) | 155,611 | 157,901 | ||
4.481% 4/1/35 (j) | 710,925 | 724,845 | ||
4.522% 2/1/35 (j) | 296,889 | 301,707 | ||
4.592% 1/1/35 (j) | 1,805,427 | 1,840,607 | ||
4.62% 2/1/35 (j) | 126,616 | 128,385 | ||
4.696% 11/1/35 (j) | 1,239,046 | 1,269,868 | ||
4.705% 12/1/35 (j) | 846,056 | 849,998 | ||
4.745% 4/1/35 (j) | 1,094,771 | 1,114,376 | ||
4.777% 4/1/35 (j) | 628,183 | 633,558 | ||
4.84% 11/1/35 (j) | 609,130 | 618,702 | ||
4.921% 9/1/35 (j) | 710,036 | 727,295 | ||
4.976% 4/1/35 (j) | 1,193,215 | 1,205,459 | ||
5.117% 1/1/36 (j) | 565,133 | 574,685 | ||
5.282% 8/1/36 (j) | 428,829 | 440,929 | ||
5.288% 3/1/35 (j) | 105,722 | 106,296 | ||
5.294% 6/1/35 (j) | 407,657 | 417,244 | ||
5.333% 8/1/34 (j) | 268,879 | 272,529 | ||
5.353% 6/1/37 (j) | 779,147 | 799,739 | ||
5.526% 2/1/35 (j) | 190,567 | 191,616 | ||
5.576% 5/1/36 (j) | 1,570,708 | 1,625,645 | ||
8.5% 5/1/26 to 7/1/28 | 133,892 | 143,599 | ||
12% 11/1/19 | 8,156 | 9,026 | ||
TOTAL FREDDIE MAC | 16,085,111 | |||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Government National Mortgage Association - 0.1% | ||||
4.25% 7/20/34 (j) | $ 304,253 | $ 305,385 | ||
7% 1/15/25 to 6/15/32 | 577,184 | 613,962 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 919,347 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $94,438,099) | 96,215,916 | |||
Asset-Backed Securities - 9.2% | ||||
| ||||
Accredited Mortgage Loan Trust: | ||||
Series 2003-3 Class A1, 4.46% 1/25/34 | 584,781 | 330,767 | ||
Series 2004-4 Class A2D, 0.8238% 1/25/35 (j) | 163,029 | 58,104 | ||
Series 2005-1 Class M1, 0.9438% 4/25/35 (j) | 236,650 | 139,592 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.2238% 7/25/36 (j) | 105,883 | 815 | ||
Class M8, 1.3238% 7/25/36 (j) | 52,466 | 278 | ||
Class M9, 2.1738% 7/25/36 (j) | 34,668 | 121 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE1 Class M1, 1.4488% 11/25/33 (j) | 405,273 | 211,077 | ||
Series 2003-HS1: | ||||
Class M1, 1.5988% 6/25/33 (j) | 35 | 35 | ||
Class M2, 3.0988% 6/25/33 (j) | 15,790 | 10,976 | ||
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (j) | 37,690 | 33,376 | ||
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (j) | 78,904 | 34,345 | ||
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (j) | 33,286 | 27,263 | ||
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (j) | 4,372 | 3,981 | ||
Series 2006-HE2: | ||||
Class M3, 0.8138% 5/25/36 (j) | 46,008 | 1,417 | ||
Class M4, 0.8738% 5/25/36 (j) | 38,880 | 820 | ||
Class M5, 0.9138% 5/25/36 (j) | 56,527 | 882 | ||
Series 2006-OP1: | ||||
Class M4, 0.8438% 4/25/36 (j) | 21,600 | 883 | ||
Class M5, 0.8638% 4/25/36 (j) | 20,520 | 704 | ||
Advanta Business Card Master Trust: | ||||
Series 2006-C1 Class C1, 0.95% 10/20/14 (j) | 151,049 | 10,573 | ||
Series 2007-A4 Class A4, 0.5% 4/22/13 (j) | 553,586 | 409,654 | ||
Series 2007-B1 Class B, 0.72% 12/22/14 (j) | 319,702 | 47,955 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (e)(j) | 124,070 | 122,383 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (e)(j) | 163,986 | 148,869 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-1: | ||||
Class C, 4.73% 7/6/10 | $ 71,741 | $ 71,248 | ||
Class D, 5.04% 5/6/11 | 2,500,000 | 2,383,137 | ||
Series 2005-DA Class A4, 5.02% 11/6/12 | 2,060,000 | 1,809,291 | ||
Series 2006-1 Class D, 5.49% 4/6/12 | 1,115,000 | 816,830 | ||
AmeriCredit Prime Automobile Receivables Trust Series 2007-2M Class A3, 5.22% 4/8/10 | 1,240,000 | 1,096,537 | ||
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class M7, 1.3238% 10/25/36 (j) | 22,705 | 14 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.1738% 12/25/33 (j) | 20,599 | 13,036 | ||
Series 2004-R10 Class M1, 1.1738% 11/25/34 (j) | 1,456,076 | 648,583 | ||
Series 2004-R11 Class M1, 1.1338% 11/25/34 (j) | 1,922,989 | 943,719 | ||
Series 2004-R2: | ||||
Class M1, 0.9038% 4/25/34 (j) | 32,573 | 24,847 | ||
Class M3, 1.0238% 4/25/34 (j) | 21,351 | 8,132 | ||
Series 2004-R9 Class M2, 1.1238% 10/25/34 (j) | 1,515,000 | 613,322 | ||
Series 2005-R1 Class M1, 0.9238% 3/25/35 (j) | 119,578 | 69,702 | ||
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (j) | 108,461 | 74,358 | ||
Series 2005-R2 Class M1, 0.9238% 4/25/35 (j) | 262,030 | 150,865 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (j) | 113,964 | 57,102 | ||
Argent Securities, Inc.: | ||||
Series 2006-M1 Class M7, 1.4738% 7/25/36 (j) | 96,031 | 259 | ||
Series 2006-M2 Class M7, 1.3738% 9/25/36 (j) | 87,785 | 79 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7: | ||||
Class A2, 0.7794% 3/1/34 (j) | 82,560 | 16,706 | ||
Class M1, 1.0794% 3/1/34 (j) | 2,500,000 | 1,293,406 | ||
Series 2003-W9 Class M1, 1.1638% 3/25/34 (j) | 1,544,402 | 671,126 | ||
Series 2004-W11 Class M2, 1.1738% 11/25/34 (j) | 71,215 | 26,407 | ||
Series 2004-W5 Class M1, 1.0738% 4/25/34 (j) | 916,184 | 539,274 | ||
Series 2004-W7: | ||||
Class M1, 1.0238% 5/25/34 (j) | 75,384 | 23,833 | ||
Class M2, 1.0738% 5/25/34 (j) | 65,880 | 35,597 | ||
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (j) | 196,970 | 69,309 | ||
Asset Backed Funding Corp. Series 2006-OPT2 | 165,348 | 2,067 | ||
Asset Backed Funding Corp. Trust Series 2005-HE1 | 182,004 | 88,167 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (j) | $ 30,965 | $ 13,778 | ||
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (j) | 68,083 | 35,447 | ||
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (j) | 338,688 | 146,758 | ||
Series 2004-HE3: | ||||
Class M1, 1.0138% 6/25/34 (j) | 29,981 | 11,866 | ||
Class M2, 1.5938% 6/25/34 (j) | 586,766 | 367,340 | ||
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (j) | 622,485 | 239,936 | ||
Series 2006-HE6: | ||||
Class M7, 1.2738% 11/25/36 (j) | 52,272 | 643 | ||
Class M9, 2.6238% 11/25/36 (j) | 139,644 | 712 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (b)(e)(j) | 432,000 | 0 | ||
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (j) | 435,758 | 391,774 | ||
Bayview Financial Acquisition Trust Series 2004-C | 499,567 | 303,695 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (j) | 449,521 | 279,476 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2004-HE8 Class M1, 1.1238% 9/25/34 (j) | 906,926 | 153,973 | ||
Series 2005-3 Class A1, 0.9238% 9/25/35 (j) | 13,852 | 10,103 | ||
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (j) | 122,904 | 55,837 | ||
Series 2005-HE2 Class M1, 0.9738% 2/25/35 (j) | 193,704 | 64,168 | ||
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (j) | 554,923 | 424,649 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41 | 2,370,000 | 2,227,800 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (j) | 291,525 | 260,638 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (j) | 62,720 | 53,946 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2005-1 Class B, 0.83% 6/15/10 (j) | 897,623 | 884,159 | ||
Series 2006-1 Class B, 5.26% 10/15/10 | 500,000 | 492,404 | ||
Series 2007-1 Class B, 5.15% 9/17/12 | 1,085,000 | 775,266 | ||
Series 2007-SN1 Class D, 6.05% 1/17/12 | 750,000 | 375,000 | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS Class D, 4.8% 9/15/12 | 1,220,000 | 1,173,352 | ||
Series 2006-C Class A3B, 0.465% 7/15/11 (j) | 48,436 | 45,068 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2007-A6 Class A6, 0.525% 5/15/13 (j) | 1,040,000 | 986,791 | ||
Series 2007-B5 Class B5, 5.4% 5/15/13 | 3,410,000 | 2,783,357 | ||
Series 2007-C3 Class C3, 0.745% 4/15/13 (e)(j) | 369,058 | 265,659 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Capital One Prime Auto Receivables Trust: | ||||
Series 2005-1 Class B, 4.58% 8/15/12 | $ 1,850,000 | $ 1,621,092 | ||
Series 2007-1 Class B1, 5.76% 12/15/13 | 1,060,000 | 854,460 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.92% 7/20/39 (e)(j) | 703,061 | 175,765 | ||
Class B, 1.22% 7/20/39 (e)(j) | 373,480 | 52,287 | ||
Class C, 1.57% 7/20/39 (e)(j) | 478,070 | 43,026 | ||
Carmax Auto Owner Trust: | ||||
Series 2006-1 Class C, 5.76% 11/15/12 | 6,935,000 | 5,797,343 | ||
Series 2006-2 Class C, 5.53% 3/15/13 | 1,070,000 | 874,056 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (j) | 144,785 | 6,964 | ||
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (j) | 54,000 | 1,080 | ||
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (j) | 23,652 | 641 | ||
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (j) | 228,766 | 55,380 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (e)(j) | 34,619 | 25,090 | ||
Chase Issuance Trust: | ||||
Series 2004-3 Class C, 0.9313% 6/15/12 (j) | 67,349 | 60,710 | ||
Series 2006-3 Class C, 0.6913% 6/15/11 (j) | 2,905,000 | 2,822,389 | ||
CIT Equipment Collateral Trust: | ||||
Series 2006-VT1: | ||||
Class B, 5.23% 2/20/13 | 113,396 | 111,714 | ||
Class D, 5.48% 2/20/13 | 126,272 | 114,493 | ||
Series 2006-VT2: | ||||
Class A3, 5.07% 2/20/10 | 982,763 | 981,743 | ||
Class D, 5.46% 4/20/14 | 43,297 | 21,649 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2007-B2 Class B2, 5% 4/2/12 | 4,320,000 | 3,824,505 | ||
Series 2007-B6 Class B6, 5% 11/8/12 | 3,410,000 | 2,830,300 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2003-HE4 Class A, 0.8838% 12/25/33 (e)(j) | 613,025 | 416,147 | ||
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (j) | 96,012 | 1,152 | ||
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (j) | 97,135 | 3,730 | ||
CNH Equipment Trust: | ||||
Series 2005-B Class B, 4.57% 7/16/12 | 830,000 | 710,237 | ||
Series 2007-A Class A3, 4.98% 10/15/10 | 754,572 | 752,983 | ||
CNH Wholesale Master Note Trust Series 2006-1A: | ||||
Class A, 0.515% 7/15/12 (e)(j) | 166,061 | 163,514 | ||
Class B, 0.735% 7/15/12 (e)(j) | 166,061 | 156,615 | ||
Countrywide Home Loan Trust Series 2006-13N | 41,917 | 4 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 1.3338% 5/25/33 (j) | $ 6,578 | $ 3,590 | ||
Series 2004-2 Class 3A4, 0.7238% 7/25/34 (j) | 86,799 | 16,378 | ||
Series 2004-3: | ||||
Class 3A4, 0.7238% 8/25/34 (j) | 364,848 | 195,263 | ||
Class M1, 0.9738% 6/25/34 (j) | 83,959 | 55,248 | ||
Class M4, 1.4438% 4/25/34 (j) | 20,283 | 9,610 | ||
Series 2004-4: | ||||
Class A, 0.8438% 8/25/34 (j) | 54,391 | 25,710 | ||
Class M2, 1.0038% 6/25/34 (j) | 74,616 | 49,383 | ||
Series 2005-1: | ||||
Class M1, 0.8938% 8/25/35 (j) | 65,059 | 46,908 | ||
Class MV2, 0.9138% 7/25/35 (j) | 179,453 | 125,164 | ||
Series 2005-3 Class MV1, 0.8938% 8/25/35 (j) | 314,626 | 274,257 | ||
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (j) | 60,254 | 49,778 | ||
CPS Auto Receivables Trust: | ||||
Series 2004-D Class A2, 3.86% 12/15/11 (e) | 19,350 | 17,657 | ||
Series 2007-C Class A3, 5.45% 5/15/12 (e) | 934,994 | 822,795 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2005-FIX1 Class A2, 4.31% 5/25/35 | 581,344 | 527,206 | ||
Discover Card Master Trust I: | ||||
Series 2006-1 Class B1, 0.605% 8/16/11 (j) | 269,957 | 267,756 | ||
Series 2006-2 Class B1, 0.575% 1/17/12 (j) | 369,058 | 330,751 | ||
Series 2007-1 Class B, 0.555% 8/15/12 (j) | 369,058 | 288,372 | ||
Diversified REIT Trust Series 2000-1A: | ||||
Class A2, 6.971% 3/8/10 (e) | 130,996 | 85,148 | ||
Class E, 6.971% 3/8/10 (e) | 865,000 | 259,500 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5: | ||||
Class AB1, 0.7453% 5/28/35 (j) | 159,655 | 87,804 | ||
Class AB3, 0.8983% 5/28/35 (j) | 67,441 | 35,206 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.6488% 8/25/34 (j) | 36,914 | 9,181 | ||
Series 2006-2 Class M1, 0.7838% 7/25/36 (j) | 1,430,000 | 32,461 | ||
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (j) | 571,298 | 161,035 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (j) | 2,881 | 1,517 | ||
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (j) | 61,941 | 56,722 | ||
Series 2006-FF5 Class 2A2, 0.5838% 4/25/36 (j) | 296,266 | 270,666 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (e) | 161,033 | 159,372 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class C, 5.68% 6/15/12 | 2,040,000 | 1,326,000 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Ford Credit Auto Owner Trust: - continued | ||||
Series 2006-C Class B, 5.3% 6/15/12 | $ 750,000 | $ 525,000 | ||
Series 2007-A: | ||||
Class B, 5.6% 10/15/12 | 490,000 | 343,000 | ||
Class C, 5.8% 2/15/13 | 775,000 | 485,717 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2006-3 Class B, 0.905% 6/15/11 (j) | 256,954 | 179,868 | ||
Series 2006-4 Class B, 1.005% 6/15/13 (j) | 98,086 | 49,464 | ||
Fosse Master Issuer PLC Series 2007-1A Class C2, 1.6925% 10/18/54 (e)(j) | 785,000 | 569,455 | ||
Franklin Auto Trust Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 1,505,000 | 1,357,102 | ||
Class C, 5.43% 2/16/15 | 1,845,000 | 1,265,836 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 1.1488% 2/25/34 (j) | 102,727 | 29,276 | ||
Class M2, 1.2238% 2/25/34 (j) | 165,638 | 105,934 | ||
Series 2004-A Class M1, 1.2988% 1/25/34 (j) | 152,428 | 81,413 | ||
Series 2004-D: | ||||
Class M4, 1.4238% 11/25/34 (j) | 104,293 | 17,167 | ||
Class M5, 1.4738% 11/25/34 (j) | 66,415 | 5,092 | ||
Series 2005-A: | ||||
Class M1, 0.9038% 1/25/35 (j) | 13,258 | 12,219 | ||
Class M2, 0.9338% 1/25/35 (j) | 222,826 | 81,450 | ||
Class M3, 0.9638% 1/25/35 (j) | 120,398 | 51,451 | ||
Class M4, 1.1538% 1/25/35 (j) | 46,138 | 22,610 | ||
Series 2006-3 Class 2A1, 0.5438% 2/25/37 (j) | 9,792 | 9,519 | ||
Series 2006-A: | ||||
Class M4, 0.8738% 5/25/36 (j) | 114,804 | 1,573 | ||
Class M5, 0.9738% 5/25/36 (j) | 61,495 | 763 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (e)(j) | 298,944 | 201,404 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (e) | 1,024,950 | 923,193 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.8913% 4/15/31 (e)(j) | 45,558 | 28,246 | ||
Series 2005-2 Class IO, 0.5242% 9/15/17 (e)(l) | 62,751,242 | 170,263 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.5713% 9/17/12 (j) | 112,946 | 79,062 | ||
Class C, 0.7013% 9/17/12 (j) | 87,826 | 57,087 | ||
Series 2007-1 Class C, 0.7313% 3/15/13 (j) | 602,402 | 397,585 | ||
Series 2007-3 Class B, 5.49% 6/15/13 | 3,350,000 | 2,345,000 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Greenpoint Credit LLC Series 2001-1 Class 1A, 0.81% 4/20/32 (j) | $ 190,924 | $ 187,568 | ||
GSAMP Trust: | ||||
Series 2002-HE Class M1, 2.345% 11/20/32 (j) | 79,011 | 38,480 | ||
Series 2003-FM1 Class M1, 1.7% 3/20/33 (j) | 152,045 | 92,125 | ||
Series 2003-HE2 Class M1, 1.1238% 8/25/33 (j) | 253,099 | 180,670 | ||
Series 2004-AR1 Class M1, 1.1238% 6/25/34 (j) | 278,359 | 105,813 | ||
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (j) | 51,733 | 27,684 | ||
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (j) | 133,071 | 76,587 | ||
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (j) | 72,885 | 23,659 | ||
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (j) | 115,495 | 5,509 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.8138% 11/25/34 (j) | 2,013 | 949 | ||
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (j) | 359,053 | 331,735 | ||
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (j) | 54,734 | 695 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.5538% 5/25/30 (e)(j) | 1,028,238 | 462,707 | ||
Series 2006-3: | ||||
Class B, 0.8738% 9/25/46 (e)(j) | 783,117 | 125,299 | ||
Class C, 1.0238% 9/25/46 (e)(j) | 1,943,752 | 233,250 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (e)(j) | 447,098 | 228,020 | ||
Home Equity Asset Trust: | ||||
Series 2002-2 Class A4, 1.2338% 6/25/32 (j) | 5,664 | 1,550 | ||
Series 2002-3 Class A5, 1.3538% 2/25/33 (j) | 51 | 11 | ||
Series 2003-3: | ||||
Class A4, 1.3938% 2/25/33 (j) | 493 | 130 | ||
Class M1, 1.7638% 8/25/33 (j) | 126,927 | 57,877 | ||
Series 2003-4 Class M1, 1.6738% 10/25/33 (j) | 37,583 | 16,644 | ||
Series 2003-5: | ||||
Class A2, 1.1738% 12/25/33 (j) | 44,160 | 12,982 | ||
Class M1, 1.5238% 12/25/33 (j) | 43,448 | 26,121 | ||
Series 2003-7 Class A2, 1.2338% 3/25/34 (j) | 4,453 | 921 | ||
Series 2003-8 Class M1, 1.5538% 4/25/34 (j) | 690,776 | 320,394 | ||
Series 2004-1 Class M2, 2.1738% 6/25/34 (j) | 337,063 | 219,247 | ||
Series 2004-3 Class M2, 2.1738% 8/25/34 (j) | 423,139 | 257,308 | ||
Series 2004-7 Class A3, 0.8638% 1/25/35 (j) | 78 | 29 | ||
Series 2005-1 Class M1, 0.9038% 5/25/35 (j) | 165,529 | 147,898 | ||
Series 2005-3 Class M1, 0.8838% 8/25/35 (j) | 113,162 | 101,154 | ||
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (j) | 50,664 | 44,760 | ||
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (j) | 463,295 | 319,867 | ||
Series 2006-7 Class M4, 0.8538% 1/25/37 (j) | 145,584 | 670 | ||
Series 2006-8 Class 2A1, 0.5238% 3/25/37 (j) | 35,554 | 30,833 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (j) | $ 35,856 | $ 21,808 | ||
HSBC Automotive Trust Series 2006-2 Class A4, 5.67% 6/17/13 | 3,500,000 | 3,357,784 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (j) | 285,530 | 253,599 | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 0.8194% 1/20/35 (j) | 293,400 | 155,216 | ||
Class M2, 0.8494% 1/20/35 (j) | 220,060 | 107,851 | ||
Series 2005-3 Class A1, 0.6194% 1/20/35 (j) | 1,242,824 | 664,968 | ||
Series 2006-2: | ||||
Class M1, 0.74% 3/20/36 (j) | 80,841 | 42,279 | ||
Class M2, 0.76% 3/20/36 (j) | 133,676 | 65,633 | ||
Series 2006-3 Class A1V, 0.55% 3/20/36 (j) | 88,271 | 84,194 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (j) | 157,118 | 47,160 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2005-A: | ||||
Class B, 4.2% 2/15/12 | 412,569 | 399,805 | ||
Class C, 4.22% 2/15/12 | 31,307 | 31,252 | ||
Series 2006-B Class C, 5.25% 5/15/13 | 584,029 | 533,144 | ||
Series 2007-A Class A3A, 5.04% 1/17/12 | 1,949,281 | 1,951,599 | ||
JPMorgan Auto Receivables Trust Series 2006-A: | ||||
Class B, 5.36% 12/15/14 (e) | 237,645 | 227,970 | ||
Class C, 5.61% 12/15/14 (e) | 857,140 | 837,934 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 0.6038% 11/25/36 (j) | 157,766 | 67,051 | ||
Class MV1, 0.7038% 11/25/36 (j) | 128,153 | 13,013 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 4.0988% 12/27/09 (j) | 140,717 | 109,287 | ||
Series 2006-A Class 2A1, 1.4963% 9/27/21 (j) | 95,573 | 93,045 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (e)(j) | 387,247 | 3,872 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 1.7038% 6/25/33 (j) | 269,366 | 121,255 | ||
Series 2004-2: | ||||
Class M1, 1.0038% 6/25/34 (j) | 78,883 | 41,629 | ||
Class M2, 1.5538% 6/25/34 (j) | 56,076 | 42,745 | ||
Series 2005-WL1 Class M2, 1.0238% 6/25/35 (j) | 1,090,000 | 613,723 | ||
Series 2006-9 Class M4, 0.8438% 11/25/36 (j) | 46,063 | 88 | ||
Marriott Vacation Club Owner Trust: | ||||
Series 2005-2 Class A, 5.25% 10/20/27 (e) | 558,839 | 455,434 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Marriott Vacation Club Owner Trust: - continued | ||||
Series 2006-1A: | ||||
Class B, 5.827% 4/20/28 (e) | $ 133,506 | $ 102,092 | ||
Class C, 6.125% 4/20/28 (e) | 133,506 | 96,248 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (j) | 57,024 | 2,076 | ||
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (j) | 26,819 | 8 | ||
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (j) | 99,598 | 4,173 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (e)(j) | 1,620,000 | 1,482,786 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (j) | 75,644 | 48,567 | ||
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (j) | 843,220 | 587,196 | ||
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (j) | 330,113 | 234,042 | ||
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (j) | 215,442 | 99,204 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (j) | 5,525 | 3,199 | ||
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (j) | 66,856 | 37,816 | ||
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (j) | 51,624 | 29,898 | ||
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (j) | 138,792 | 24,075 | ||
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (j) | 130,741 | 62,861 | ||
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (j) | 61,906 | 29,857 | ||
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (j) | 56,009 | 19,102 | ||
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (j) | 50,738 | 17,289 | ||
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (j) | 64,800 | 31,219 | ||
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (j) | 28,806 | 63 | ||
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (j) | 515,607 | 487,216 | ||
Series 2006-NC4: | ||||
Class M4, 0.8238% 6/25/36 (j) | 43,200 | 449 | ||
Class M6, 0.9238% 6/25/36 (j) | 21,600 | 119 | ||
Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (j) | 14,364 | 11,593 | ||
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (j) | 13,971 | 9,354 | ||
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (j) | 7,589 | 6,039 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (j) | 3,344 | 926 | ||
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (j) | 93,002 | 76,027 | ||
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (j) | 600,534 | 338,198 | ||
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (e)(j) | 522,624 | 299,997 | ||
Series 2002-NC3: | ||||
Class A3, 1.1538% 8/25/32 (j) | 4,374 | 784 | ||
Class M1, 1.5538% 8/25/32 (j) | 7,981 | 3,640 | ||
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (j) | 436,667 | 214,787 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley Home Equity Loans Trust: | ||||
Series 2006-3 Class M5, 0.8838% 4/25/36 (j) | $ 43,200 | $ 536 | ||
Series 2007-2 Class A1, 0.5738% 4/25/37 (j) | 82,794 | 62,881 | ||
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (j) | 85,242 | 78,501 | ||
National Collegiate Funding LLC Series 2004-GT1 | 1,725,000 | 155,250 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (l) | 1,790,750 | 336,607 | ||
Series 2005-2 Class AIO, 7.73% 3/25/12 (l) | 1,265,000 | 91,346 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (l) | 900,000 | 50,907 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (l) | 1,410,000 | 98,700 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (l) | 700,000 | 70,000 | ||
Series 2006-3: | ||||
Class A1, 0.5038% 9/25/19 (j) | 159,534 | 149,811 | ||
Class AIO, 7.1% 1/25/12 (l) | 5,140,000 | 750,594 | ||
Series 2006-4: | ||||
Class A1, 0.5038% 3/25/25 (j) | 129,978 | 115,962 | ||
Class AIO, 6.35% 2/27/12 (l) | 880,000 | 119,310 | ||
Navistar Financial Corp. Owner Trust Series 2005-A Class A4, 4.43% 1/15/14 | 1,012,508 | 978,686 | ||
New Century Home Equity Loan Trust: | ||||
Series 2003-6 Class M1, 1.5538% 1/25/34 (j) | 148,365 | 82,938 | ||
Series 2005-4 Class M2, 0.9838% 9/25/35 (j) | 181,094 | 26,967 | ||
Series 2005-D Class M2, 0.9438% 2/25/36 (j) | 37,735 | 2,551 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 0.9894% 11/1/52 (e)(j) | 1,000,000 | 120,000 | ||
Nomura Home Equity Loan Trust: | ||||
Series 2006-AF1 Class A1, 6.032% 10/25/36 | 193,051 | 168,256 | ||
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (j) | 123,336 | 703 | ||
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (j) | 105,616 | 95,592 | ||
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.9338% 10/30/45 (j) | 1,560,078 | 1,224,661 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.97% 3/20/10 (e)(j) | 71,885 | 25,160 | ||
Series 2006-1A Class A, 1.87% 3/20/11 (e)(j) | 149,278 | 59,711 | ||
Option One Mortgage Loan Trust Series 2004-3 | 43,654 | 27,466 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 1.1538% 9/25/34 (j) | 415,338 | 238,318 | ||
Class M3, 1.7238% 9/25/34 (j) | 797,630 | 178,715 | ||
Class M4, 1.9238% 9/25/34 (j) | 1,086,724 | 114,967 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Park Place Securities, Inc.: - continued | ||||
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (j) | $ 50,846 | $ 8,435 | ||
Series 2004-WHQ2: | ||||
Class A3E, 0.8938% 2/25/35 (j) | 176,824 | 137,232 | ||
Class M1, 1.0638% 2/25/35 (j) | 147,614 | 107,979 | ||
Series 2004-WWF1: | ||||
Class M2, 1.1538% 2/25/35 (j) | 204,098 | 119,815 | ||
Class M3, 1.2138% 2/25/35 (j) | 25,294 | 10,185 | ||
Class M4, 1.5738% 1/25/35 (j) | 1,905,000 | 275,135 | ||
Series 2005-WCH1: | ||||
Class M2, 0.9938% 1/25/35 (j) | 97,891 | 55,929 | ||
Class M3, 1.0338% 1/25/35 (j) | 60,718 | 23,994 | ||
Class M4, 1.3038% 1/25/35 (j) | 187,294 | 28,880 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.7238% 5/25/35 (j) | 913,983 | 35,751 | ||
Class M9, 2.3538% 5/25/35 (j) | 75,060 | 2,164 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1: | ||||
Class M4, 0.8338% 9/25/36 (j) | 216,432 | 1,342 | ||
Class M5, 0.8638% 9/25/36 (j) | 107,892 | 475 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (e)(j) | 461,052 | 198,252 | ||
Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (e) | 1,420,000 | 852,000 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 198,181 | 178,270 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (j) | 648 | 117 | ||
Santander Drive Auto Receivables Trust Series 2007-1 Class A3, 5.05% 9/15/11 | 1,083,423 | 1,060,248 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (j) | 239,868 | 114,070 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (e)(j) | 136,297 | 102,237 | ||
Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A1, 5.84% 5/20/18 (e) | 560,122 | 414,490 | ||
SLM Private Credit Student Loan Trust: | ||||
Series 2004 B Class A2, 2.1963% 6/15/21 (j) | 1,800,000 | 1,151,271 | ||
Series 2004-A: | ||||
Class B, 2.5763% 6/15/33 (j) | 400,000 | 196,125 | ||
Class C, 2.9463% 6/15/33 (j) | 1,181,482 | 531,667 | ||
Series 2004-B Class C, 2.8663% 9/15/33 (j) | 1,900,000 | 475,000 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 0.635% 8/15/11 (e)(j) | $ 219,499 | $ 186,574 | ||
Class C, 0.835% 8/15/11 (e)(j) | 100,094 | 75,071 | ||
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (j) | 29,737 | 19,327 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (j) | 11,579 | 4,659 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (j) | 17,421 | 7,698 | ||
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (j) | 373 | 0 | ||
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (e)(j) | 166,061 | 48,258 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 0.5613% 9/15/11 (j) | 667,440 | 537,289 | ||
Class B, 0.7413% 9/15/11 (j) | 499,154 | 199,662 | ||
Series 2007-AE1: | ||||
Class A, 0.555% 1/15/12 (j) | 124,178 | 86,925 | ||
Class B, 0.755% 1/15/12 (j) | 108,043 | 43,217 | ||
Class C, 1.055% 1/15/12 (j) | 134,266 | 40,280 | ||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 0.9113% 3/15/11 (e)(j) | 2,520,000 | 2,268,000 | ||
Swift Master Auto Receivables Trust: | ||||
Series 2007-1 Class A, 0.555% 6/15/12 (j) | 364,716 | 262,596 | ||
Series 2007-2 Class A, 1.105% 10/15/12 (j) | 1,515,000 | 984,750 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 0.9038% 9/25/34 (j) | 86,903 | 17,967 | ||
Series 2003-6HE Class A1, 0.9438% 11/25/33 (j) | 4,628 | 1,555 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-1A Class C, 0.785% 5/16/11 (e)(j) | 359,186 | 341,564 | ||
Series 2006-2: | ||||
Class B, 0.605% 10/17/11 (j) | 434,657 | 380,325 | ||
Class C, 0.805% 10/17/11 (j) | 408,370 | 330,064 | ||
Series 2007-1 Class C, 0.8313% 6/15/12 (j) | 465,653 | 299,652 | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class D, 5.42% 4/21/14 (e) | 3,615,000 | 2,770,545 | ||
Series 2006-2A: | ||||
Class A3, 5.23% 8/22/11 (e) | 1,555,545 | 1,548,190 | ||
Class D, 5.54% 12/20/12 (e) | 2,245,000 | 1,144,950 | ||
Series 2007-1 Class D, 5.65% 2/20/13 | 2,640,000 | 1,135,200 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (e) | 112,639 | 11 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
WaMu Asset-Backed Certificates Series 2006-HE3: | ||||
Class M4, 0.8538% 10/25/36 (j) | $ 76,507 | $ 1,385 | ||
Class M7, 1.2738% 10/25/36 (j) | 55,382 | 620 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 0.485% 9/16/13 (e)(j) | 697,226 | 664,050 | ||
Series 2006-C2A Class C2, 0.955% 8/15/15 (e)(j) | 888,516 | 386,043 | ||
Series 2006-C3A Class C3A, 0.835% 10/15/13 (e)(j) | 621,864 | 501,834 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (e) | 1,500,000 | 1,342,500 | ||
Series 2007-C1 Class C1, 0.855% 5/15/14 (e)(j) | 541,145 | 318,399 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (e)(o) | 961 | 0 | ||
WFS Financial Owner Trust: | ||||
Series 2005-1 Class C, 3.82% 8/17/12 | 2,294 | 2,285 | ||
Series 2005-3 Class C, 4.54% 5/17/13 | 850,000 | 779,401 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (e)(j) | 1,390,735 | 166,888 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $151,963,373) | 110,217,951 | |||
Collateralized Mortgage Obligations - 5.2% | ||||
| ||||
Private Sponsor - 2.5% | ||||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A Class 3C, 1.6275% 2/17/52 (e)(j) | 84,974 | 63,731 | ||
Series 2006-2A: | ||||
Class 2B, 1.3575% 2/17/52 (e)(j) | 299,030 | 279,100 | ||
Class 2M, 1.4375% 2/17/52 (e)(j) | 203,364 | 182,718 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (e)(j) | 190,861 | 81,019 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2035% 12/25/33 (j) | 8,570 | 6,960 | ||
Series 2004-A Class 2A2, 5.1951% 2/25/34 (j) | 1,229,916 | 1,002,594 | ||
Series 2004-B Class 1A1, 6.433% 3/25/34 (j) | 9,537 | 7,263 | ||
Series 2004-C Class 1A1, 5.971% 4/25/34 (j) | 16,909 | 13,326 | ||
Series 2004-J Class 2A1, 4.7597% 11/25/34 (j) | 618,612 | 481,434 | ||
Series 2005-H: | ||||
Class 1A1, 5.3329% 9/25/35 (j) | 164,844 | 118,727 | ||
Class 2A2, 4.8028% 9/25/35 (j) | 228,855 | 73,786 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 0.7538% 1/25/35 (j) | 639,165 | 315,683 | ||
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (j) | 645,756 | 358,310 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Bear Stearns Alt-A Trust floater: - continued | ||||
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (j) | $ 590,928 | $ 299,381 | ||
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (j) | 13,078 | 12,447 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (j) | 79,377 | 39,525 | ||
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (j) | 216,307 | 101,378 | ||
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (j) | 49,732 | 20,810 | ||
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (j) | 58,844 | 28,020 | ||
Series 2005-10: | ||||
Class 5A1, 0.7338% 1/25/36 (j) | 93,364 | 44,600 | ||
Class 5A2, 0.7938% 1/25/36 (j) | 42,012 | 16,844 | ||
Series 2005-2: | ||||
Class 6A2, 0.7538% 6/25/35 (j) | 14,649 | 6,497 | ||
Class 6M2, 0.9538% 6/25/35 (j) | 187,207 | 45,729 | ||
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (j) | 69,517 | 35,288 | ||
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (j) | 22,034 | 10,866 | ||
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (j) | 54,855 | 31,017 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (j) | 24,845 | 14,491 | ||
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (j) | 44,243 | 22,853 | ||
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (j) | 20,058 | 10,049 | ||
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (j) | 6,049 | 2,757 | ||
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (j) | 50,794 | 30,262 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (j) | 435,931 | 226,481 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (j) | 90,142 | 73,356 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (j) | 7,245 | 4,578 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 1.3025% 10/18/54 (e)(j) | 362,772 | 278,319 | ||
Class C2, 1.6125% 10/18/54 (e)(j) | 121,608 | 60,804 | ||
Class M2, 1.3925% 10/18/54 (e)(j) | 208,505 | 134,736 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (e)(j) | 311,213 | 145,504 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (e)(j) | 395,258 | 171,170 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A Class C2, 1.07% 12/20/54 (e)(j) | $ 762,826 | $ 53,398 | ||
Series 2006-2 Class C1, 0.94% 12/20/54 (j) | 3,254,342 | 325,434 | ||
Series 2006-3 Class C2, 0.97% 12/20/54 (j) | 142,646 | 8,787 | ||
Series 2006-4: | ||||
Class B1, 0.56% 12/20/54 (j) | 381,607 | 76,321 | ||
Class C1, 0.85% 12/20/54 (j) | 233,345 | 16,334 | ||
Class M1, 0.64% 12/20/54 (j) | 100,462 | 15,069 | ||
Series 2007-1: | ||||
Class 1C1, 0.77% 12/20/54 (j) | 235,742 | 23,574 | ||
Class 1M1, 0.62% 12/20/54 (j) | 153,360 | 23,004 | ||
Class 2C1, 0.9% 12/20/54 (j) | 107,590 | 10,759 | ||
Class 2M1, 0.72% 12/20/54 (j) | 196,906 | 31,505 | ||
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (j) | 272,830 | 27,283 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (j) | 54,631 | 13,658 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (j) | 635,947 | 437,346 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (j) | 54,045 | 24,223 | ||
Holmes Master Issuer PLC floater Series 2006-1A | 77,306 | 54,114 | ||
Home Equity Loan Trust floater Series 2007-FRE1 | 248,213 | 141,405 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (j) | 567,759 | 322,377 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (j) | 33,289 | 19,684 | ||
Series 2004-9: | ||||
Class M2, 1.4488% 1/25/35 (j) | 136,983 | 61,107 | ||
Class M3, 1.5238% 1/25/35 (j) | 101,544 | 41,981 | ||
Class M4, 2.0488% 1/25/35 (j) | 51,794 | 19,738 | ||
Series 2005-1: | ||||
Class M4, 1.2238% 4/25/35 (j) | 3,938 | 655 | ||
Class M5, 1.2438% 4/25/35 (j) | 3,938 | 482 | ||
Class M6, 1.2938% 4/25/35 (j) | 6,299 | 903 | ||
Series 2005-3 Class A1, 0.7138% 8/25/35 (j) | 78,827 | 40,016 | ||
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (j) | 24,609 | 842 | ||
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (j) | 21,338 | 1,687 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (e)(j) | 375,827 | 191,985 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (j) | $ 89,860 | $ 55,661 | ||
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (j) | 181,030 | 87,467 | ||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 187,563 | 136,311 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (j) | 227,862 | 95,702 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.625% 6/15/22 (e)(j) | 26,395 | 14,517 | ||
Class C, 0.645% 6/15/22 (e)(j) | 161,633 | 80,817 | ||
Class D, 0.655% 6/15/22 (e)(j) | 62,186 | 27,984 | ||
Class E, 0.665% 6/15/22 (e)(j) | 99,468 | 39,787 | ||
Class F, 0.695% 6/15/22 (e)(j) | 179,345 | 62,771 | ||
Class G, 0.765% 6/15/22 (e)(j) | 37,282 | 11,185 | ||
Class H, 0.785% 6/15/22 (e)(j) | 74,650 | 18,663 | ||
Class J, 0.825% 6/15/22 (e)(j) | 87,091 | 17,418 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A Class 2A1, 0.8638% 3/25/28 (j) | 407,950 | 237,286 | ||
Series 2003-B Class A1, 0.8138% 4/25/28 (j) | 30,030 | 17,520 | ||
Series 2003-D Class A, 0.7838% 8/25/28 (j) | 25,475 | 16,336 | ||
Series 2003-E Class A2, 2.0813% 10/25/28 (j) | 42,485 | 25,351 | ||
Series 2003-F Class A2, 3.805% 10/25/28 (j) | 440,967 | 264,170 | ||
Series 2004-A Class A2, 3.715% 4/25/29 (j) | 39,235 | 24,285 | ||
Series 2004-B Class A2, 2.8388% 6/25/29 (j) | 487,779 | 288,530 | ||
Series 2004-C Class A2, 2.15% 7/25/29 (j) | 412,534 | 244,858 | ||
Series 2004-D Class A2, 3.4625% 9/25/29 (j) | 398,410 | 235,859 | ||
Series 2004-E: | ||||
Class A2B, 3.825% 11/25/29 (j) | 69,670 | 44,495 | ||
Class A2D, 4.015% 11/25/29 (j) | 10,104 | 5,920 | ||
Series 2004-G Class A2, 3.48% 11/25/29 (j) | 33,682 | 20,318 | ||
Series 2005-A Class A2, 3.3525% 2/25/30 (j) | 32,557 | 19,590 | ||
Series 2005-B Class A2, 2.7988% 7/25/30 (j) | 99,478 | 62,003 | ||
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (j) | 206,820 | 972 | ||
MortgageIT Trust floater: | ||||
Series 2004-2: | ||||
Class A1, 0.8438% 12/25/34 (j) | 508,130 | 331,036 | ||
Class A2, 0.9238% 12/25/34 (j) | 686,948 | 477,477 | ||
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (j) | 40,922 | 27,051 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (j) | 413,322 | 202,231 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (j) | $ 310,176 | $ 14,609 | ||
Permanent Financing No. 4 PLC Class 3C, 2.9894% 6/10/42 (j) | 1,215,000 | 1,211,282 | ||
Permanent Financing No. 5 PLC floater Series 3 Class C, 2.9894% 6/10/42 (j) | 1,935,000 | 1,451,250 | ||
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (j) | 260,453 | 176,393 | ||
Permanent Master Issuer PLC floater Series 2006-1 | 66,269 | 49,039 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (j) | 881,632 | 702,891 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B Class B5, 2.7988% 7/10/35 (e)(j) | 173,107 | 84,216 | ||
Series 2003-CB1 Class B3, 1.8988% 6/10/35 (e)(j) | 133,474 | 71,409 | ||
Series 2004-A: | ||||
Class B4, 1.6488% 2/10/36 (e)(j) | 101,746 | 35,245 | ||
Class B5, 2.1488% 2/10/36 (e)(j) | 67,823 | 21,751 | ||
Series 2004-B: | ||||
Class B4, 1.5488% 2/10/36 (e)(j) | 44,131 | 12,158 | ||
Class B5, 1.9988% 2/10/36 (e)(j) | 34,176 | 8,479 | ||
Class B6, 2.4488% 2/10/36 (e)(j) | 11,922 | 2,452 | ||
Series 2004-C: | ||||
Class B4, 1.3988% 9/10/36 (e)(j) | 56,734 | 16,640 | ||
Class B5, 1.7988% 9/10/36 (e)(j) | 63,618 | 17,069 | ||
Class B6, 2.1988% 9/10/36 (e)(j) | 14,088 | 3,087 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (j) | 219,268 | 169,038 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 416,873 | 368,272 | ||
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (j) | 371,037 | 272,129 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (e)(j) | 34,805 | 26,109 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (e)(j) | 7,880 | 7,679 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (e) | 236,970 | 180,208 | ||
SBA CMBS Trust Series 2005-1A: | ||||
Class D, 6.219% 11/15/35 (e) | 1,370,000 | 1,191,900 | ||
Class E, 6.706% 11/15/35 (e) | 365,000 | 308,425 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 3.7963% 9/20/33 (j) | $ 197,380 | $ 120,307 | ||
Series 2004-1 Class A, 1.8888% 2/20/34 (j) | 20,363 | 13,041 | ||
Series 2004-10 Class A4, 4.5188% 11/20/34 (j) | 29,480 | 18,236 | ||
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (j) | 88,915 | 54,655 | ||
Series 2004-3 Class A, 3.885% 5/20/34 (j) | 343,503 | 209,819 | ||
Series 2004-4 Class A, 4.4388% 5/20/34 (j) | 381,442 | 237,368 | ||
Series 2004-5 Class A3, 2.9113% 6/20/34 (j) | 357,105 | 218,391 | ||
Series 2004-6: | ||||
Class A3A, 2.1613% 6/20/35 (j) | 250,422 | 160,609 | ||
Class A3B, 2.3038% 7/20/34 (j) | 6,131 | 3,768 | ||
Series 2004-7: | ||||
Class A3A, 1.9138% 8/20/34 (j) | 299,672 | 179,514 | ||
Class A3B, 2.1388% 7/20/34 (j) | 3,987 | 2,338 | ||
Series 2004-8 Class A2, 2.15% 9/20/34 (j) | 473,511 | 306,703 | ||
Series 2005-1 Class A2, 1.8388% 2/20/35 (j) | 384,730 | 238,313 | ||
Series 2005-2 Class A2, 2.03% 3/20/35 (j) | 67,309 | 40,470 | ||
Series 2005-3 Class A1, 0.67% 5/20/35 (j) | 32,692 | 17,561 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (j) | 66,744 | 874 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 0.6738% 6/25/35 (j) | 194,396 | 132,164 | ||
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (e)(j) | 153,393 | 65,012 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (j) | 415,454 | 211,807 | ||
Wachovia Bank Commercial Mortgage Trust Series 2004-C14 Class PP, 5.3117% 8/15/41 (e)(j) | 1,510,922 | 945,323 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater: | ||||
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (j) | 19,239 | 18,413 | ||
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (j) | 7,798 | 7,537 | ||
sequential payer Series 2004-RA2 Class 2A, 7% 7/25/33 | 157,101 | 140,816 | ||
Series 2003-AR10 Class A7, 4.669% 10/25/33 (j) | 831,968 | 522,359 | ||
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (j) | 335,000 | 331,734 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-EE Class 2A2, 4.1875% 12/25/34 (j) | 978,050 | 779,146 | ||
Series 2004-V Class 1A2, 4.0139% 10/25/34 (j) | 637,825 | 509,623 | ||
Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (j) | 154,498 | 118,038 | ||
Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 3,296,755 | 2,536,456 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (j) | $ 268,646 | $ 206,772 | ||
Series 2005-AR4 Class 2A2, 4.5395% 4/25/35 (j) | 5,557,204 | 4,435,241 | ||
TOTAL PRIVATE SPONSOR | 29,213,793 | |||
U.S. Government Agency - 2.7% | ||||
Fannie Mae planned amortization class: | ||||
Series 1993-187 Class L, 6.5% 7/25/23 | 581,436 | 596,029 | ||
Series 2006-64 Class PA, 5.5% 2/25/30 | 3,508,997 | 3,611,571 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2006-49 Class CA, 6% 2/25/31 | 4,523,005 | 4,657,798 | ||
Series 2006-54 Class PE, 6% 2/25/33 | 1,564,928 | 1,620,160 | ||
sequential payer: | ||||
Series 2001-40 Class Z, 6% 8/25/31 | 1,005,419 | 1,045,501 | ||
Series 2003-76 Class BA, 4.5% 3/25/18 | 2,444,298 | 2,503,236 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 99,484 | 101,088 | ||
Freddie Mac sequential payer Series 2114 Class ZM, 6% 1/15/29 | 449,179 | 468,241 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2535 Class PC, 6% 9/15/32 | 1,452,303 | 1,502,075 | ||
Series 2690 Class PD, 5% 2/15/27 | 2,520,246 | 2,583,452 | ||
Series 2755 Class LC, 4% 6/15/27 | 2,225,000 | 2,264,338 | ||
Series 2901 Class UM, 4.5% 1/15/30 | 3,330,396 | 3,392,800 | ||
sequential payer: | ||||
Series 2609 Class UJ, 6% 2/15/17 | 892,859 | 937,398 | ||
Series 2635 Class DG, 4.5% 1/15/18 | 2,800,884 | 2,871,925 | ||
Series 2780 Class A, 4% 12/15/14 | 2,349,898 | 2,367,086 | ||
Series 2786 Class GA, 4% 8/15/17 | 1,167,282 | 1,187,723 | ||
Series 2970 Class YA, 5% 9/15/18 | 914,961 | 942,792 | ||
Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 | 41,603 | 41,690 | ||
TOTAL U.S. GOVERNMENT AGENCY | 32,694,903 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $71,889,069) | 61,908,696 | |||
Commercial Mortgage Securities - 4.6% | ||||
| Principal Amount | Value | ||
280 Park Avenue Trust floater Series 2001-280 | $ 14,540,912 | $ 277,268 | ||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5863% 2/14/43 (j)(l) | 3,999,036 | 141,666 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-5 Class A1, 5.185% 7/10/11 | 546,001 | 532,039 | ||
Series 2007-3 Class A1, 5.6583% 6/10/49 (j) | 1,320,655 | 1,052,319 | ||
Series 2006-6 Class XP, 0.4316% 10/10/45 (j)(l) | 32,421,228 | 469,748 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
Series 2002-2 Class XP, 1.794% 7/11/43 (e)(j)(l) | 5,286,301 | 81,640 | ||
Series 2004-6 Class XP, 0.4529% 12/10/42 (j)(l) | 10,395,529 | 111,952 | ||
Series 2005-4 Class XP, 0.1697% 7/10/45 (j)(l) | 15,414,356 | 86,821 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 0.9313% 3/15/22 (e)(j) | 78,149 | 35,167 | ||
Class G, 0.9913% 3/15/22 (e)(j) | 50,652 | 19,248 | ||
Series 2006-BIX1: | ||||
Class F, 0.765% 10/15/19 (e)(j) | 201,139 | 90,513 | ||
Class G, 0.785% 10/15/19 (e)(j) | 137,009 | 47,953 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.3238% 12/25/33 (e)(j) | 13,378 | 7,692 | ||
Series 2004-1: | ||||
Class A, 0.8338% 4/25/34 (e)(j) | 629,225 | 471,919 | ||
Class B, 2.3738% 4/25/34 (e)(j) | 76,229 | 28,586 | ||
Class M1, 1.0338% 4/25/34 (e)(j) | 44,138 | 27,586 | ||
Class M2, 1.6738% 4/25/34 (e)(j) | 42,573 | 22,351 | ||
Series 2004-2: | ||||
Class A, 0.9038% 8/25/34 (e)(j) | 517,588 | 414,071 | ||
Class M1, 1.0538% 8/25/34 (e)(j) | 184,465 | 115,291 | ||
Series 2004-3: | ||||
Class A1, 0.8438% 1/25/35 (e)(j) | 852,376 | 617,972 | ||
Class A2, 0.8938% 1/25/35 (e)(j) | 129,922 | 90,945 | ||
Class M1, 0.9738% 1/25/35 (e)(j) | 45,997 | 29,898 | ||
Class M2, 1.4738% 1/25/35 (e)(j) | 29,764 | 16,370 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-2A: | ||||
Class A1, 0.7838% 8/25/35 (e)(j) | $ 194,650 | $ 136,255 | ||
Class M1, 0.9038% 8/25/35 (e)(j) | 14,442 | 5,777 | ||
Class M2, 0.9538% 8/25/35 (e)(j) | 23,821 | 9,528 | ||
Class M3, 0.9738% 8/25/35 (e)(j) | 13,179 | 4,613 | ||
Class M4, 1.0838% 8/25/35 (e)(j) | 12,098 | 3,629 | ||
Series 2005-3A: | ||||
Class A1, 0.7938% 11/25/35 (e)(j) | 106,095 | 68,962 | ||
Class A2, 0.8738% 11/25/35 (e)(j) | 68,783 | 44,709 | ||
Class M1, 0.9138% 11/25/35 (e)(j) | 12,548 | 4,768 | ||
Class M2, 0.9638% 11/25/35 (e)(j) | 15,932 | 6,054 | ||
Class M3, 0.9838% 11/25/35 (e)(j) | 14,258 | 4,990 | ||
Class M4, 1.0738% 11/25/35 (e)(j) | 17,764 | 6,218 | ||
Series 2005-4A: | ||||
Class A2, 0.8638% 1/25/36 (e)(j) | 1,246,111 | 716,514 | ||
Class B1, 1.8738% 1/25/36 (e)(j) | 83,848 | 29,347 | ||
Class M1, 0.9238% 1/25/36 (e)(j) | 391,924 | 225,356 | ||
Class M2, 0.9438% 1/25/36 (e)(j) | 148,723 | 81,798 | ||
Class M3, 0.9738% 1/25/36 (e)(j) | 159,837 | 79,919 | ||
Class M4, 1.0838% 1/25/36 (e)(j) | 81,789 | 38,850 | ||
Class M5, 1.1238% 1/25/36 (e)(j) | 81,789 | 36,805 | ||
Class M6, 1.1738% 1/25/36 (e)(j) | 83,000 | 34,860 | ||
Series 2006-1: | ||||
Class A2, 0.8338% 4/25/36 (e)(j) | 38,804 | 25,533 | ||
Class M1, 0.8538% 4/25/36 (e)(j) | 13,879 | 6,939 | ||
Class M2, 0.8738% 4/25/36 (e)(j) | 14,664 | 6,599 | ||
Class M3, 0.8938% 4/25/36 (e)(j) | 12,617 | 5,299 | ||
Class M4, 0.9938% 4/25/36 (e)(j) | 7,150 | 3,879 | ||
Class M5, 1.0338% 4/25/36 (e)(j) | 6,939 | 2,637 | ||
Class M6, 1.1138% 4/25/36 (e)(j) | 13,836 | 7,167 | ||
Series 2006-2A: | ||||
Class A1, 0.7038% 7/25/36 (e)(j) | 380,800 | 304,640 | ||
Class A2, 0.7538% 7/25/36 (e)(j) | 34,379 | 27,503 | ||
Class B1, 1.3438% 7/25/36 (e)(j) | 12,872 | 2,574 | ||
Class B3, 3.1738% 7/25/36 (e)(j) | 19,447 | 3,889 | ||
Class M1, 0.7838% 7/25/36 (e)(j) | 36,070 | 18,035 | ||
Class M2, 0.8038% 7/25/36 (e)(j) | 25,449 | 12,216 | ||
Class M3, 0.8238% 7/25/36 (e)(j) | 21,110 | 9,499 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-2A: | ||||
Class M4, 0.8938% 7/25/36 (e)(j) | $ 14,254 | $ 5,702 | ||
Class M5, 0.9438% 7/25/36 (e)(j) | 17,521 | 6,132 | ||
Class M6, 1.0138% 7/25/36 (e)(j) | 26,141 | 9,149 | ||
Series 2006-3A: | ||||
Class B1, 1.2738% 10/25/36 (e)(j) | 22,294 | 6,889 | ||
Class B2, 1.8238% 10/25/36 (e)(j) | 16,080 | 4,726 | ||
Class B3, 3.0738% 10/25/36 (e)(j) | 26,167 | 5,809 | ||
Class M4, 0.9038% 10/25/36 (e)(j) | 24,639 | 10,730 | ||
Class M5, 0.9538% 10/25/36 (e)(j) | 29,497 | 11,799 | ||
Class M6, 1.0338% 10/25/36 (e)(j) | 57,737 | 21,651 | ||
Series 2006-4A: | ||||
Class A1, 0.7038% 12/25/36 (e)(j) | 106,293 | 72,301 | ||
Class A2, 0.7438% 12/25/36 (e)(j) | 479,050 | 332,365 | ||
Class B1, 1.1738% 12/25/36 (e)(j) | 16,723 | 3,345 | ||
Class B2, 1.7238% 12/25/36 (e)(j) | 17,305 | 7,971 | ||
Class B3, 2.9238% 12/25/36 (e)(j) | 29,078 | 12,797 | ||
Class M1, 0.7638% 12/25/36 (e)(j) | 34,610 | 22,220 | ||
Class M2, 0.7838% 12/25/36 (e)(j) | 23,278 | 14,665 | ||
Class M3, 0.8138% 12/25/36 (e)(j) | 23,578 | 9,903 | ||
Class M4, 0.8738% 12/25/36 (e)(j) | 28,254 | 11,302 | ||
Class M5, 0.9138% 12/25/36 (e)(j) | 25,907 | 10,363 | ||
Class M6, 0.9938% 12/25/36 (e)(j) | 23,278 | 12,938 | ||
Series 2007-1: | ||||
Class A2, 0.7438% 3/25/37 (e)(j) | 518,227 | 297,980 | ||
Class B1, 1.1438% 3/25/37 (e)(j) | 165,463 | 57,912 | ||
Class B2, 1.6238% 3/25/37 (e)(j) | 121,310 | 38,516 | ||
Class B3, 3.8238% 3/25/37 (e)(j) | 337,458 | 98,707 | ||
Class M1, 0.7438% 3/25/37 (e)(j) | 141,705 | 76,875 | ||
Class M2, 0.7638% 3/25/37 (e)(j) | 107,283 | 55,519 | ||
Class M3, 0.7938% 3/25/37 (e)(j) | 93,171 | 46,585 | ||
Class M4, 0.8438% 3/25/37 (e)(j) | 70,278 | 33,734 | ||
Class M5, 0.8938% 3/25/37 (e)(j) | 117,482 | 52,867 | ||
Class M6, 0.9738% 3/25/37 (e)(j) | 162,014 | 64,806 | ||
Series 2007-2A: | ||||
Class A1, 0.7438% 7/25/37 (e)(j) | 79,839 | 48,303 | ||
Class A2, 0.7938% 7/25/37 (e)(j) | 74,777 | 46,175 | ||
Class B1, 2.0738% 7/25/37 (e)(j) | 23,430 | 7,439 | ||
Class B2, 2.7238% 7/25/37 (e)(j) | 20,305 | 6,294 | ||
Class B3, 3.8238% 7/25/37 (e)(j) | 22,836 | 6,851 | ||
Class M1, 0.8438% 7/25/37 (e)(j) | 26,651 | 14,458 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-2A: | ||||
Class M2, 0.8838% 7/25/37 (e)(j) | $ 14,955 | $ 7,739 | ||
Class M3, 0.9638% 7/25/37 (e)(j) | 15,147 | 7,460 | ||
Class M4, 1.1238% 7/25/37 (e)(j) | 29,164 | 12,176 | ||
Class M5, 1.2238% 7/25/37 (e)(j) | 25,789 | 10,122 | ||
Class M6, 1.4738% 7/25/37 (e)(j) | 32,729 | 12,028 | ||
Series 2007-3: | ||||
Class A2, 0.7638% 7/25/37 (e)(j) | 132,484 | 98,409 | ||
Class B1, 1.4238% 7/25/37 (e)(j) | 114,067 | 54,307 | ||
Class B2, 2.0738% 7/25/37 (e)(j) | 293,048 | 139,549 | ||
Class B3, 4.4738% 7/25/37 (e)(j) | 153,226 | 70,300 | ||
Class M1, 0.7838% 7/25/37 (e)(j) | 100,090 | 58,102 | ||
Class M2, 0.8138% 7/25/37 (e)(j) | 105,230 | 59,055 | ||
Class M3, 0.8438% 7/25/37 (e)(j) | 170,335 | 89,886 | ||
Class M4, 0.9738% 7/25/37 (e)(j) | 269,358 | 140,955 | ||
Class M5, 1.0738% 7/25/37 (e)(j) | 134,275 | 68,950 | ||
Class M6, 1.2738% 7/25/37 (e)(j) | 104,864 | 53,229 | ||
Series 2007-4A: | ||||
Class A2, 1.0238% 9/25/37 (e)(j) | 972,463 | 680,724 | ||
Class B1, 3.0238% 9/25/37 (e)(j) | 161,033 | 51,128 | ||
Class B2, 3.9238% 9/25/37 (e)(j) | 603,810 | 176,614 | ||
Class M1, 1.4238% 9/25/37 (e)(j) | 150,688 | 75,344 | ||
Class M2, 1.5238% 9/25/37 (e)(j) | 150,688 | 67,810 | ||
Class M4, 2.0738% 9/25/37 (e)(j) | 397,109 | 158,844 | ||
Class M5, 2.2238% 9/25/37 (e)(j) | 397,109 | 148,916 | ||
Class M6, 2.4238% 9/25/37 (e)(j) | 397,207 | 139,023 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (e)(l) | 4,989,665 | 54,886 | ||
Series 2006-2A Class IO, 1.7976% 7/25/36 (c)(e)(l) | 13,438,796 | 806,328 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.9013% 3/15/19 (e)(j) | 102,211 | 58,332 | ||
Class H, 1.1113% 3/15/19 (e)(j) | 68,774 | 30,948 | ||
Class J, 1.3113% 3/15/19 (e)(j) | 51,667 | 20,667 | ||
Series 2007-BBA8: | ||||
Class D, 0.705% 3/15/22 (e)(j) | 52,963 | 32,896 | ||
Class E, 0.755% 3/15/22 (e)(j) | 275,033 | 161,276 | ||
Class F, 0.805% 3/15/22 (e)(j) | 168,653 | 94,474 | ||
Class G, 0.855% 3/15/22 (e)(j) | 43,346 | 23,557 | ||
Class H, 1.005% 3/15/22 (e)(j) | 52,963 | 23,833 | ||
Class J, 1.155% 3/15/22 (e)(j) | 52,963 | 21,185 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
sequential payer: | ||||
Series 2004-ESA Class A3, 4.741% 5/14/16 (e) | $ 625,000 | $ 627,572 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 1,592,725 | 1,523,622 | ||
Series 2002-TOP8 Class X2, 2.0827% 8/15/38 (e)(j)(l) | 5,909,417 | 180,069 | ||
Series 2003-PWR2 Class X2, 0.4666% 5/11/39 (e)(j)(l) | 15,824,019 | 165,584 | ||
Series 2004-PWR6 Class X2, 0.6189% 11/11/41 (e)(j)(l) | 6,225,449 | 117,309 | ||
Series 2005-PWR9 Class X2, 0.3886% 9/11/42 (e)(j)(l) | 42,430,192 | 500,031 | ||
Series 2007-T28 Class A1, 5.422% 9/11/42 | 703,912 | 674,600 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (e)(j) | 138,929 | 60,326 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 | 36,834,967 | 1,454,429 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class G, 0.785% 11/15/36 (e)(j) | 56,376 | 17,477 | ||
Class H, 0.825% 11/15/36 (e)(j) | 45,122 | 13,537 | ||
sequential payer Series 2005-EMG Class A2, 4.2211% 9/20/51 (e) | 564,818 | 546,210 | ||
Series 2004-C2 Class XP, 0.8937% 10/15/41 (e)(j)(l) | 8,219,154 | 157,957 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.4227% 10/15/48 (j)(l) | 60,171,351 | 948,276 | ||
Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.064% 9/15/11 (j) | 685,440 | 660,494 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class D, 0.765% 4/15/17 (e)(j) | 120,571 | 57,042 | ||
Class E, 0.825% 4/15/17 (e)(j) | 38,383 | 17,967 | ||
Class F, 0.865% 4/15/17 (e)(j) | 21,773 | 9,645 | ||
Class G, 1.005% 4/15/17 (e)(j) | 21,773 | 9,432 | ||
Class H, 1.075% 4/15/17 (e)(j) | 21,773 | 8,891 | ||
Class J, 1.305% 4/15/17 (e)(j) | 16,697 | 7,538 | ||
Series 2005-FL11: | ||||
Class F, 0.9113% 11/15/17 (e)(j) | 49,344 | 16,488 | ||
Class G, 0.9613% 11/15/17 (e)(j) | 34,203 | 10,662 | ||
Series 2004-LBN2 Class X2, 0.8624% 3/10/39 (e)(j)(l) | 2,207,447 | 32,775 | ||
Series 2005-LP5 Class XP, 0.3666% 5/10/43 (j)(l) | 15,117,739 | 99,682 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32 | $ 201,378 | $ 200,969 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6637% 12/15/39 (j)(l) | 45,122,289 | 1,065,545 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2001-CK6 Class AX, 0.645% 9/15/18 (l) | 16,805,025 | 339,845 | ||
Series 2003-C3 Class ASP, 1.6988% 5/15/38 (e)(j)(l) | 16,672,414 | 303,581 | ||
Series 2004-C1 Class ASP, 0.9364% 1/15/37 (e)(j)(l) | 11,393,170 | 189,000 | ||
Series 2005-C1 Class ASP, 0.3423% 2/15/38 (e)(j)(l) | 17,184,486 | 129,793 | ||
Series 2005-C2 Class ASP, 0.5505% 4/15/37 (e)(j)(l) | 13,881,778 | 187,269 | ||
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1: | ||||
Class C: | ||||
0.6313% 2/15/22 (e)(j) | 236,650 | 70,995 | ||
0.7313% 2/15/22 (e)(j) | 84,521 | 21,130 | ||
Class F, 0.7813% 2/15/22 (e)(j) | 169,020 | 37,184 | ||
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 1,594,951 | 1,599,294 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class D, 6.484% 3/15/33 | 1,360,000 | 1,095,521 | ||
GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 1.0537% 5/15/33 (e)(j)(l) | 10,434,363 | 195,796 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
sequential payer Series 2003-C2 Class A1, 4.576% 5/10/40 | 1,851,832 | 1,673,323 | ||
Series 2004-C3 Class X2, 0.6604% 12/10/41 (j)(l) | 9,798,591 | 116,415 | ||
Series 2006-C1 Class XP, 0.1363% 11/10/45 (j)(l) | 20,466,988 | 111,183 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
Series 2003-C2 Class XP, 0.9758% 1/5/36 (e)(j)(l) | 15,615,079 | 215,241 | ||
Series 2005-GG3 Class XP, 0.7646% 8/10/42 (e)(j)(l) | 38,512,299 | 660,278 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (e)(l) | 97,158,551 | 1,369,936 | ||
GS Mortgage Securities Corp. II floater: | ||||
Series 2006-FL8A Class F, 0.885% 6/6/20 (e)(j) | 105,970 | 60,403 | ||
Series 2007-EOP: | ||||
Class C, 0.765% 3/6/20 (e)(j) | 720,000 | 460,800 | ||
Class D, 0.815% 3/6/20 (e)(j) | 215,000 | 137,600 | ||
Class E, 0.885% 3/6/20 (e)(j) | 360,000 | 226,800 | ||
Class F, 0.925% 3/6/20 (e)(j) | 180,000 | 109,800 | ||
Class G, 0.965% 3/6/20 (e)(j) | 90,000 | 54,000 | ||
Class H, 1.095% 3/6/20 (e)(j) | 150,000 | 90,000 | ||
Class J, 1.295% 3/6/20 (e)(j) | 215,000 | 122,550 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Hilton Hotel Pool Trust: | ||||
sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (e) | $ 266,578 | $ 276,411 | ||
Series 2000-HLTA Class D, 7.555% 10/3/15 (e) | 1,275,000 | 1,362,830 | ||
Host Marriott Pool Trust sequential payer Series 1999-HMTA: | ||||
Class A, 6.98% 8/3/15 (e) | 69,603 | 70,305 | ||
Class B, 7.3% 8/3/15 (e) | 505,000 | 514,383 | ||
Class D, 7.97% 8/3/15 (e) | 425,000 | 435,023 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
sequential payer Series 2001-C1 Class A2, 5.464% 10/12/35 | 511,775 | 505,148 | ||
Series 2002-C3 Class X2, 1.1342% 7/12/35 (e)(j)(l) | 4,475,450 | 37,290 | ||
Series 2003-CB7 Class X2, 0.7683% 1/12/38 (e)(j)(l) | 3,130,372 | 37,423 | ||
Series 2003-LN1 Class X2, 0.6341% 10/15/37 (e)(j)(l) | 19,040,052 | 185,774 | ||
Series 2004-C1 Class X2, 0.9723% 1/15/38 (e)(j)(l) | 2,944,185 | 47,355 | ||
Series 2004-CB8 Class X2, 1.1064% 1/12/39 (e)(j)(l) | 4,040,551 | 67,153 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FLA2: | ||||
Class D, 0.6913% 11/15/18 (e)(j) | 29,296 | 13,769 | ||
Class E, 0.7413% 11/15/18 (e)(j) | 41,514 | 18,681 | ||
Class F, 0.7913% 11/15/18 (e)(j) | 62,265 | 27,397 | ||
Class G, 0.8213% 11/15/18 (e)(j) | 54,115 | 22,728 | ||
Class H, 0.9613% 11/15/18 (e)(j) | 41,514 | 16,606 | ||
sequential payer: | ||||
Series 2006-LDP9 Class A1, 5.17% 5/15/47 (j) | 961,639 | 935,801 | ||
Series 2008-C2 Class A1, 5.017% 2/12/51 | 513,979 | 487,349 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 1999-C1 Class A2, 6.78% 6/15/31 | 1,167,749 | 1,164,612 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C6 Class A1, 5.23% 9/15/39 | 663,679 | 648,634 | ||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 307,493 | 299,971 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (j) | 403,501 | 394,528 | ||
Series 2007-C2 Class A1, 5.226% 2/15/40 | 385,495 | 376,136 | ||
Series 2002-C4 Class XCP, 1.3959% 10/15/35 (e)(j)(l) | 9,386,557 | 74,735 | ||
Series 2002-C7 Class XCP, 0.9632% 1/15/36 (e)(j)(l) | 6,724,444 | 54,434 | ||
Series 2003-C1 Class XCP, 1.2936% 12/15/36 (e)(j)(l) | 4,200,213 | 52,154 | ||
Series 2004-C2 Class XCP, 0.8376% 3/15/36 (e)(j)(l) | 6,373,742 | 124,747 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2004-C6 Class XCP, 0.6492% 8/15/36 (e)(j)(l) | $ 9,461,807 | $ 117,874 | ||
Series 2005-C7 Class XCP, 0.1676% 11/15/40 (j)(l) | 73,994,079 | 436,728 | ||
Series 2006-C1 Class XCP, 0.308% 2/15/41 (j)(l) | 55,680,894 | 603,046 | ||
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (j)(l) | 26,139,968 | 564,521 | ||
Series 2007-C1 Class XCP, 0.4751% 2/15/40 (j)(l) | 10,274,564 | 163,650 | ||
Series 2007-C2 Class XCP, 0.5002% 2/15/40 (j)(l) | 49,695,301 | 896,926 | ||
LB-UBS Westfield Trust: | ||||
Series 2001-WM Class X, 0.5408% 7/14/16 (e)(j)(l) | 11,812,293 | 126,898 | ||
Series 2001-WM, 6.754% 7/14/16 (e) | 1,085,000 | 978,870 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 0.795% 9/15/21 (e)(j) | 145,070 | 59,632 | ||
Class G, 0.815% 9/15/21 (e)(j) | 286,588 | 104,858 | ||
Class H, 0.855% 9/15/21 (e)(j) | 73,934 | 25,570 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 2002-MW1 Class XP, 1.5454% 7/12/34 (e)(j)(l) | 3,931,968 | 22,221 | ||
Series 2005-MCP1 Class XP, 0.5561% 6/12/43 (j)(l) | 13,041,162 | 226,890 | ||
Series 2005-MKB2 Class XP, 0.2538% 9/12/42 (j)(l) | 6,482,678 | 40,998 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-6 Class A1, 5.175% 3/12/51 | 427,922 | 416,976 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 689,274 | 657,256 | ||
Series 2006-4 Class XP, 0.6219% 12/12/49 (j)(l) | 20,761,780 | 474,600 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.662% 7/15/19 (e)(j) | 104,414 | 10,441 | ||
Series 2007-XCLA Class A1, 0.662% 7/17/17 (e)(j) | 347,799 | 191,289 | ||
Series 2007-XLCA Class B, 0.9613% 7/17/17 (e)(j) | 197,974 | 17,818 | ||
Series 2007-XLFA: | ||||
Class D, 0.652% 10/15/20 (e)(j) | 84,694 | 21,174 | ||
Class E, 0.712% 10/15/20 (e)(j) | 105,926 | 21,185 | ||
Class F, 0.762% 10/15/20 (e)(j) | 63,569 | 11,442 | ||
Class G, 0.802% 10/15/20 (e)(j) | 78,581 | 11,787 | ||
Class H, 0.892% 10/15/20 (e)(j) | 49,464 | 4,946 | ||
Class J, 1.042% 10/15/20 (e)(j) | 56,462 | 4,517 | ||
Class MHRO, 1.152% 10/15/20 (e)(j) | 22,950 | 2,525 | ||
Class MJPM, 1.462% 10/15/20 (e)(j) | 7,766 | 699 | ||
Class MSTR, 1.162% 10/15/20 (e)(j) | 14,148 | 1,981 | ||
Class NHRO, 1.352% 10/15/20 (e)(j) | 33,519 | 3,017 | ||
Class NSTR, 1.312% 10/15/20 (e)(j) | 13,176 | 1,449 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.9046% 4/15/38 (e)(j)(l) | $ 6,047,521 | $ 108,231 | ||
Series 2006-HQ8 Class A1, 5.124% 3/12/44 | 191,719 | 189,813 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 496,908 | 480,903 | ||
Series 2007-HQ11 Class A1, 5.246% 2/20/44 | 695,735 | 675,564 | ||
Series 2003-IQ6 Class X2, 0.5824% 12/15/41 (e)(j)(l) | 12,134,174 | 173,292 | ||
Series 2005-HQ5 Class X2, 0.2375% 1/14/42 (j)(l) | 14,114,670 | 90,004 | ||
Series 2005-IQ9 Class X2, 1.0444% 7/15/56 (e)(j)(l) | 12,908,616 | 311,271 | ||
Series 2005-TOP17 Class X2, 0.5794% 12/13/41 (j)(l) | 9,130,627 | 162,900 | ||
Series 2007-XLC1: | ||||
Class C, 1.0613% 7/17/17 (e)(j) | 270,216 | 21,617 | ||
Class D, 1.1613% 7/17/17 (e)(j) | 127,146 | 8,900 | ||
Class E, 1.2613% 7/17/17 (e)(j) | 103,321 | 6,199 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2003-HQ2 Class X2, 1.327% 3/12/35 (e)(j)(l) | 9,955,515 | 231,079 | ||
Series 2003-TOP9 Class X2, 1.4362% 11/13/36 (e)(j)(l) | 5,194,394 | 130,787 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (e)(j) | 274,263 | 224,896 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.655% 1/15/18 (e)(j) | 161,978 | 89,088 | ||
Series 2006-WL7A: | ||||
Class E, 0.735% 9/15/21 (e)(j) | 176,861 | 72,513 | ||
Class F, 0.795% 8/11/18 (e)(j) | 238,334 | 71,500 | ||
Class G, 0.815% 8/11/18 (e)(j) | 225,785 | 56,446 | ||
Class J, 0.9331% 8/11/18 (e)(j) | 50,198 | 18,071 | ||
Class X1A, 0.0239% 9/15/21 (e)(j)(l) | 359,324 | 3 | ||
Series 2007-WHL8: | ||||
Class AP1, 1.155% 6/15/20 (e)(j) | 11,855 | 2,964 | ||
Class AP2, 1.255% 6/15/20 (e)(j) | 19,414 | 3,883 | ||
Class F, 0.935% 6/15/20 (e)(j) | 376,985 | 120,635 | ||
Class LXR2, 1.255% 6/15/20 (e)(j) | 257,008 | 38,551 | ||
sequential payer: | ||||
Series 2003-C7 Class A1, 4.241% 10/15/35 (e) | 2,650,553 | 2,506,054 | ||
Series 2007-C30 Class A1, 5.031% 12/15/43 | 665,108 | 646,879 | ||
Series 2007-C31 Class A1, 5.14% 4/15/47 | 452,777 | 440,310 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2005-C18 Class XP, 0.3252% 4/15/42 (e)(j)(l) | $ 19,778,807 | $ 174,724 | ||
Series 2005-C20 Class A3SF, 0.4588% 7/15/42 (j) | 1,332,935 | 1,189,479 | ||
Series 2006-C23 Class X, 0.0807% 1/15/45 (e)(j)(l) | 259,571,789 | 1,127,684 | ||
Series 2006-C24 Class XP, 0.0768% 3/15/45 (e)(j)(l) | 44,853,665 | 189,372 | ||
Series 2007-C30 Class XP, 0.4336% 12/15/43 (e)(j)(l) | 50,509,717 | 827,536 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $64,925,031) | 55,645,381 | |||
Commercial Paper - 1.0% | ||||
| ||||
Bank of Nova Scotia yankee 0.76% 5/12/09 | 2,000,000 | 1,995,901 | ||
HVB U.S. Finance, Inc. yankee 1.4% 3/9/09 | 1,480,000 | 1,479,855 | ||
Lloyds TSB Bank PLC yankee 1.15% 5/11/09 | 4,000,000 | 3,991,986 | ||
Rabobank USA Financial Corp. yankee 0.9% 8/10/09 | 4,000,000 | 3,988,283 | ||
TOTAL COMMERCIAL PAPER (Cost $11,450,900) | 11,456,025 |
Fixed-Income Funds - 0.3% | |||
Shares |
| ||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (k) | 47,909 | 3,398,205 | |
Cash Equivalents - 9.2% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # | $ 8,168,176 | 8,168,000 | |
0.28%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # (a) | 101,752,374 | 101,750,000 | |
TOTAL CASH EQUIVALENTS (Cost $109,918,000) | 109,918,000 | ||
TOTAL INVESTMENT PORTFOLIO - 110.3% (Cost $1,384,047,682) | 1,319,914,416 | ||
NET OTHER ASSETS - (10.3)% | (123,079,751) | ||
NET ASSETS - 100% | $ 1,196,834,665 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
95 Eurodollar 90 Day Index Contracts | March 2009 | $ 94,694,219 | $ 504,389 | ||
92 Eurodollar 90 Day Index Contracts | June 2009 | 91,699,850 | 220,158 | ||
92 Eurodollar 90 Day Index Contracts | Sept. 2009 | 91,683,750 | 227,758 | ||
49 Eurodollar 90 Day Index Contracts | Dec. 2009 | 48,810,738 | (12,232) | ||
49 Eurodollar 90 Day Index Contracts | March 2010 | 48,795,425 | (11,170) | ||
TOTAL EURODOLLAR CONTRACTS | $ 928,903 | ||||
Swap Agreements | |||||
|
| Notional Amount | Value | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 (Rating-Ba2) (i) | Nov. 2034 | $ 362,000 | $ (335,276) | ||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-B1) (i) | Oct. 2034 | 119,687 | (64,278) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 (Rating-Baa3) (i) | May 2033 | 362,000 | (304,161) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (i) | Sept. 2034 | 105,811 | (97,196) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Baa2) (i) | August 2034 | $ 87,388 | $ (51,382) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-A3) (i) | Oct. 2034 | 108,324 | (64,182) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Baa3) (i) | April 2032 | 31,876 | (25,904) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 (Rating-Baa3) (i) | March 2034 | $ 26,379 | $ (1,759) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-Ba2) (i) | Feb. 2034 | 1,009 | (953) | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 (Rating-Baa2) (i) | March 2009 | 1,000,000 | (340) | ||
| $ 2,204,474 | $ (945,431) |
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Non-income producing - Issuer is in default. |
(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $76,625,051 or 6.4% of net assets. |
(f) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $13,545,486 or 1.1% of net assets. |
(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $455,011. |
(h) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,300,031. |
(i) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(m) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,780,811 or 0.1% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Iberbond 2004 PLC 4.826% 12/24/17 | 11/30/05 | $ 2,132,642 |
(n) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(o) Non-income producing. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$8,168,000 due 3/02/09 at 0.26% | |
Goldman, Sachs & Co. | $ 3,202,673 |
UBS Securities LLC | 4,965,327 |
| $ 8,168,000 |
$101,750,000 due 3/02/09 at 0.28% | |
J.P. Morgan Securities, Inc. | $ 101,750,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 91,860 |
Fidelity Ultra-Short Central Fund | 542,289 |
Total | $ 634,149 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 6,291,778 | $ 91,859 | $ 2,298,181 | $ 3,398,205 | 0.4% |
Fidelity Ultra-Short Central Fund | 76,202,764 | - | 64,126,624* | - | 0.0% |
Total | $ 82,494,542 | $ 91,859 | $ 66,424,805 | $ 3,398,205 |
* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 1,319,914,416 | $ 3,398,205 | $ 1,296,911,348 | $ 19,604,863 |
Other Financial Instruments* | $ (16,528) | $ 928,903 | $ (355,884) | $ (589,547) |
*Other financial instruments include Futures Contracts and Swap Agreements. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
| Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 2,559,315 | $ (1,233,143) |
Total Realized Gain (Loss) | 29,878 | - |
Total Unrealized Gain (Loss) | (9,640,355) | 718,552 |
Cost of Purchases | 5,259,619 | - |
Proceeds of Sales | (1,266,337) | - |
Amortization/Accretion | (628,234) | - |
Transfer in/out of Level 3 | 23,290,977 | (74,956) |
Ending Balance | $ 19,604,863 | $ (589,547) |
* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $19,366. |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Income Tax Information |
At August 31, 2008, the fund had a capital loss carryforward of approximately $13,532,123 of which $6,438,298, $4,621,616, $1,110,250 and $1,361,959 will expire on August 31, 2013, 2014, 2015 and 2016, respectively. |
The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $22,088,797 of losses recognized during the period November 1, 2007 to August 31, 2008. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| February 28, 2009 | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $99,755,000 and repurchase agreements of $109,918,000) - See accompanying schedule: Unaffiliated issuers (cost $1,379,272,500) | $ 1,316,516,211 |
|
Fidelity Central Funds (cost $4,775,182) | 3,398,205 |
|
Total Investments (cost $1,384,047,682) |
| $ 1,319,914,416 |
Cash | 65,223 | |
Receivable for investments sold | 22,854,218 | |
Receivable for swap agreements | 5,225 | |
Receivable for fund shares sold | 1,522,397 | |
Interest receivable | 6,512,166 | |
Distributions receivable from Fidelity Central Funds | 9,878 | |
Prepaid expenses | 11,891 | |
Total assets | 1,350,895,414 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 3,140,243 | |
Delayed delivery | 42,657,708 | |
Payable for swap agreements | 552,911 | |
Payable for fund shares redeemed | 4,036,969 | |
Distributions payable | 165,302 | |
Unrealized depreciation on swap agreements | 945,431 | |
Accrued management fee | 325,293 | |
Distribution fees payable | 167,787 | |
Payable for daily variation on futures contracts | 413 | |
Other affiliated payables | 238,874 | |
Other payables and accrued expenses | 79,818 | |
Collateral on securities loaned, at value | 101,750,000 | |
Total liabilities | 154,060,749 | |
|
|
|
Net Assets | $ 1,196,834,665 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,324,587,000 | |
Undistributed net investment income | 1,136,164 | |
Accumulated undistributed net realized gain (loss) on investments | (64,738,707) | |
Net unrealized appreciation (depreciation) on investments | (64,149,792) | |
Net Assets | $ 1,196,834,665 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
| February 28, 2009 | |
|
|
|
Calculation of Maximum Offering Price | $ 8.66 | |
|
|
|
Maximum offering price per share (100/98.50 of $8.66) | $ 8.79 | |
Class T: | $ 8.66 | |
|
|
|
Maximum offering price per share (100/98.50 of $8.66) | $ 8.79 | |
Class B: | $ 8.63 | |
|
|
|
Class C: | $ 8.66 | |
|
|
|
Institutional Class: | $ 8.69 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
| Six months ended February 28, 2009 | |
|
|
|
Investment Income |
|
|
Interest |
| $ 21,855,717 |
Income from Fidelity Central Funds |
| 634,149 |
Total income |
| 22,489,866 |
|
|
|
Expenses | ||
Management fee | $ 2,036,417 | |
Transfer agent fees | 1,272,220 | |
Distribution fees | 1,009,781 | |
Accounting and security lending fees | 224,249 | |
Custodian fees and expenses | 19,060 | |
Independent trustees' compensation | 2,451 | |
Registration fees | 56,002 | |
Audit | 88,500 | |
Legal | 2,162 | |
Miscellaneous | 12,952 | |
Total expenses before reductions | 4,723,794 | |
Expense reductions | (6,202) | 4,717,592 |
Net investment income | 17,772,274 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 184,047 | |
Fidelity Central Funds | (28,977,784) |
|
Futures contracts | 1,682,875 | |
Swap agreements | 129,730 |
|
Total net realized gain (loss) |
| (26,981,132) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (13,690,035) | |
Futures contracts | (563,782) | |
Swap agreements | 844,038 | |
Total change in net unrealized appreciation (depreciation) |
| (13,409,779) |
Net gain (loss) | (40,390,911) | |
Net increase (decrease) in net assets resulting from operations | $ (22,618,637) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 17,772,274 | $ 54,585,898 |
Net realized gain (loss) | (26,981,132) | (24,447,492) |
Change in net unrealized appreciation (depreciation) | (13,409,779) | (22,462,426) |
Net increase (decrease) in net assets resulting from operations | (22,618,637) | 7,675,980 |
Distributions to shareholders from net investment income | (16,520,027) | (54,115,364) |
Share transactions - net increase (decrease) | (138,734,810) | (18,385,435) |
Total increase (decrease) in net assets | (177,873,474) | (64,824,819) |
|
|
|
Net Assets | ||
Beginning of period | 1,374,708,139 | 1,439,532,958 |
End of period (including undistributed net investment income of $1,136,164 and distributions in excess of net investment income of $116,083, respectively) | $ 1,196,834,665 | $ 1,374,708,139 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
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Net asset value, beginning of period | $ 8.94 | $ 9.25 | $ 9.39 | $ 9.39 | $ 9.60 | $ 9.55 | $ 9.44 |
Income from Investment Operations |
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Net investment income E | .120 | .364 | .414 | .305 | .281 | .202 | .261 |
Net realized and unrealized gain (loss) | (.289) | (.315) | (.154) | .002 | (.204) | .040 | .128 |
Total from investment operations | (.169) | .049 | .260 | .307 | .077 | .242 | .389 |
Distributions from net investment income | (.111) | (.359) | (.400) | (.307) | (.279) | (.192) | (.279) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.111) | (.359) | (.400) | (.307) | (.287) | (.192) | (.279) |
Net asset value, end of period | $ 8.66 | $ 8.94 | $ 9.25 | $ 9.39 | $ 9.39 | $ 9.60 | $ 9.55 |
Total Return B, C, D | (1.89)% | .51% | 2.79% | 3.33% | .81% | 2.56% | 4.16% |
Ratios to Average Net Assets F, I |
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Expenses before reductions | .79% A | .78% | .78% | .78% A | .85% | .87% | .81% |
Expenses net of fee waivers, if any | .79% A | .78% | .78% | .78% A | .85% | .87% | .81% |
Expenses net of all reductions | .79% A | .78% | .77% | .78% A | .85% | .87% | .81% |
Net investment income | 2.77% A | 3.98% | 4.41% | 3.91% A | 2.96% | 2.13% | 2.74% |
Supplemental Data |
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Net assets, end of period (000 omitted) | $ 275,530 | $ 342,015 | $ 412,412 | $ 377,221 | $ 369,512 | $ 357,760 | $ 186,290 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class T
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
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Net asset value, beginning of period | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 |
Income from Investment Operations |
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Net investment income E | .122 | .368 | .417 | .308 | .284 | .207 | .261 |
Net realized and unrealized gain (loss) | (.290) | (.327) | (.154) | .002 | (.194) | .038 | .118 |
Total from investment operations | (.168) | .041 | .263 | .310 | .090 | .245 | .379 |
Distributions from net investment income | (.112) | (.361) | (.403) | (.310) | (.282) | (.195) | (.279) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.112) | (.361) | (.403) | (.310) | (.290) | (.195) | (.279) |
Net asset value, end of period | $ 8.66 | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 |
Total Return B, C, D | (1.88)% | .43% | 2.82% | 3.36% | .95% | 2.59% | 4.04% |
Ratios to Average Net Assets F, I |
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Expenses before reductions | .77% A | .76% | .75% | .74% A | .81% | .83% | .82% |
Expenses net of fee waivers, if any | .77% A | .76% | .75% | .74% A | .81% | .83% | .82% |
Expenses net of all reductions | .77% A | .76% | .75% | .74% A | .81% | .83% | .82% |
Net investment income | 2.79% A | 4.01% | 4.44% | 3.95% A | 2.99% | 2.16% | 2.73% |
Supplemental Data |
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Net assets, end of period (000 omitted) | $ 267,577 | $ 334,850 | $ 516,227 | $ 514,917 | $ 544,662 | $ 517,440 | $ 468,931 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class B
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
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Net asset value, beginning of period | $ 8.95 | $ 9.27 | $ 9.41 | $ 9.41 | $ 9.61 | $ 9.56 | $ 9.46 |
Income from Investment Operations |
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Net investment income E | .087 | .295 | .344 | .247 | .210 | .130 | .183 |
Net realized and unrealized gain (loss) | (.329) | (.326) | (.155) | .002 | (.194) | .038 | .120 |
Total from investment operations | (.242) | (.031) | .189 | .249 | .016 | .168 | .303 |
Distributions from net investment income | (.078) | (.289) | (.329) | (.249) | (.208) | (.118) | (.203) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.078) | (.289) | (.329) | (.249) | (.216) | (.118) | (.203) |
Net asset value, end of period | $ 8.63 | $ 8.95 | $ 9.27 | $ 9.41 | $ 9.41 | $ 9.61 | $ 9.56 |
Total Return B, C, D | (2.71)% | (.36)% | 2.01% | 2.68% | .17% | 1.77% | 3.23% |
Ratios to Average Net Assets F, I |
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Expenses before reductions | 1.55% A | 1.55% | 1.54% | 1.54% A | 1.61% | 1.63% | 1.61% |
Expenses net of fee waivers, if any | 1.55% A | 1.55% | 1.54% | 1.54% A | 1.60% | 1.63% | 1.61% |
Expenses net of all reductions | 1.55% A | 1.55% | 1.53% | 1.53% A | 1.60% | 1.63% | 1.61% |
Net investment income | 2.01% A | 3.22% | 3.65% | 3.15% A | 2.21% | 1.36% | 1.94% |
Supplemental Data |
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Net assets, end of period (000 omitted) | $ 12,564 | $ 11,617 | $ 19,895 | $ 30,678 | $ 39,190 | $ 53,502 | $ 49,353 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class C
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
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Net asset value, beginning of period | $ 8.95 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 | $ 9.45 |
Income from Investment Operations |
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Net investment income E | .085 | .291 | .340 | .244 | .206 | .129 | .182 |
Net realized and unrealized gain (loss) | (.299) | (.315) | (.155) | .002 | (.204) | .048 | .118 |
Total from investment operations | (.214) | (.024) | .185 | .246 | .002 | .177 | .300 |
Distributions from net investment income | (.076) | (.286) | (.325) | (.246) | (.204) | (.117) | (.200) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.076) | (.286) | (.325) | (.246) | (.212) | (.117) | (.200) |
Net asset value, end of period | $ 8.66 | $ 8.95 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 |
Total Return B, C, D | (2.39)% | (.29)% | 1.98% | 2.65% | .02% | 1.86% | 3.19% |
Ratios to Average Net Assets F, I |
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Expenses before reductions | 1.60% A | 1.58% | 1.57% | 1.58% A | 1.64% | 1.65% | 1.64% |
Expenses net of fee waivers, if any | 1.60% A | 1.58% | 1.57% | 1.58% A | 1.64% | 1.65% | 1.64% |
Expenses net of all reductions | 1.60% A | 1.58% | 1.57% | 1.57% A | 1.64% | 1.65% | 1.64% |
Net investment income | 1.96% A | 3.18% | 3.62% | 3.12% A | 2.16% | 1.34% | 1.91% |
Supplemental Data |
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Net assets, end of period (000 omitted) | $ 107,987 | $ 97,150 | $ 129,105 | $ 156,364 | $ 194,992 | $ 273,166 | $ 359,779 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Institutional Class
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 G | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
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Net asset value, beginning of period | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 |
Income from Investment Operations |
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Net investment income D | .132 | .385 | .435 | .321 | .301 | .225 | .278 |
Net realized and unrealized gain (loss) | (.260) | (.324) | (.154) | .003 | (.194) | .038 | .119 |
Total from investment operations | (.128) | .061 | .281 | .324 | .107 | .263 | .397 |
Distributions from net investment income | (.122) | (.381) | (.421) | (.324) | (.299) | (.213) | (.297) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.122) | (.381) | (.421) | (.324) | (.307) | (.213) | (.297) |
Net asset value, end of period | $ 8.69 | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 |
Total Return B, C | (1.43)% | .65% | 3.02% | 3.51% | 1.14% | 2.78% | 4.24% |
Ratios to Average Net Assets E, H |
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Expenses before reductions | .54% A | .54% | .55% | .57% A | .63% | .64% | .63% |
Expenses net of fee waivers, if any | .54% A | .54% | .55% | .57% A | .63% | .64% | .63% |
Expenses net of all reductions | .54% A | .54% | .55% | .57% A | .63% | .64% | .63% |
Net investment income | 3.02% A | 4.23% | 4.64% | 4.12% A | 3.18% | 2.35% | 2.92% |
Supplemental Data |
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Net assets, end of period (000 omitted) | $ 533,177 | $ 589,076 | $ 361,894 | $ 224,908 | $ 151,257 | $ 98,505 | $ 91,138 |
Portfolio turnover rate F | 277% A | 94% | 91% J | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2009
1. Organization.
Fidelity Advisor Short Fixed-Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central | Investment | Investment | Investment |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
Semiannual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Semiannual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, prior period premium and discount on debt securities, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards, expiring capital loss carryforwards and losses deferred due to wash sales excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 11,144,009 |
Unrealized depreciation | (74,799,397) |
Net unrealized appreciation (depreciation) | $ (63,655,388) |
Cost for federal income tax purposes | $ 1,383,569,804 |
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to
Semiannual Report
4. Operating Policies - continued
Futures Contracts - continued
meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
Swap Agreements - continued
(buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $2,204,474 representing 0.2% of net assets.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Semiannual Report
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $67,400,338 and $193,118,279, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services.
For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | -% | .15% | $ 235,443 | $ 6,369 |
Class T | -% | .15% | 223,672 | 4,264 |
Class B | .65% | .25% | 57,981 | 42,119 |
Class C | .75% | .25% | 492,685 | 40,588 |
|
|
| $ 1,009,781 | $ 93,340 |
Sales Load. FDC receives a front-end sales charge of up to 1.50% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of a contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, .75% to ..50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
Semiannual Report
Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 16,956 |
Class T | 7,064 |
Class B* | 23,671 |
Class C* | 10,299 |
| $ 57,990 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 394,567 | .25 |
Class T | 340,704 | .23 |
Class B | 16,268 | .25 |
Class C | 100,838 | .21 |
Institutional Class | 419,843 | .15 |
| $ 1,272,220 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $38,383,060 in return for 613,870 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.
Semiannual Report
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3,941 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $174,359.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,202.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Notes to Financial Statements - continued
10. Other - continued
In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 4,031,155 | $ 15,639,258 |
Class T | 3,865,297 | 17,927,649 |
Class B | 115,075 | 501,393 |
Class C | 850,140 | 3,571,643 |
Institutional Class | 7,658,360 | 16,475,421 |
Total | $ 16,520,027 | $ 54,115,364 |
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 5,300,214 | 11,302,265 | $ 46,139,585 | $ 103,603,312 |
Reinvestment of distributions | 416,206 | 1,539,856 | 3,634,570 | 14,071,246 |
Shares redeemed | (12,158,131) | (19,150,281) | (106,416,026) | (174,320,632) |
Net increase (decrease) | (6,441,711) | (6,308,160) | $ (56,641,871) | $ (56,646,074) |
Class T |
|
|
|
|
Shares sold | 3,671,556 | 10,974,663 | $ 31,961,366 | $ 100,897,906 |
Reinvestment of distributions | 402,031 | 1,767,638 | 3,513,880 | 16,191,013 |
Shares redeemed | (10,632,998) | (31,063,213) | (93,248,596) | (283,101,603) |
Net increase (decrease) | (6,559,411) | (18,320,912) | $ (57,773,350) | $ (166,012,684) |
Semiannual Report
12. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class B |
|
|
|
|
Shares sold | 849,795 | 661,531 | $ 7,404,271 | $ 6,072,366 |
Reinvestment of distributions | 9,301 | 41,928 | 81,263 | 384,593 |
Shares redeemed | (700,372) | (1,552,588) | (6,131,754) | (14,215,142) |
Net increase (decrease) | 158,724 | (849,129) | $ 1,353,780 | $ (7,758,183) |
Class C |
|
|
|
|
Shares sold | 3,857,523 | 1,924,284 | $ 33,588,455 | $ 17,674,887 |
Reinvestment of distributions | 65,830 | 261,023 | 575,404 | 2,389,857 |
Shares redeemed | (2,317,232) | (5,267,046) | (20,328,992) | (48,161,144) |
Net increase (decrease) | 1,606,121 | (3,081,739) | $ 13,834,867 | $ (28,096,400) |
Institutional Class |
|
|
|
|
Shares sold | 15,686,339 | 38,519,700 | $ 137,902,531 | $ 347,579,198 |
Reinvestment of distributions | 818,523 | 1,561,667 | 7,155,382 | 14,241,593 |
Shares redeemed | (21,019,905) | (13,302,803) | (184,566,149) | (121,692,885) |
Net increase (decrease) | (4,515,043) | 26,778,564 | $ (39,508,236) | $ 240,127,906 |
13. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Short Fixed-Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Short Fixed-Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments, as of February 28, 2009, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended February 28, 2009 and for the year ended August 31, 2008, and the financial highlights for the six months ended February 28, 2009 and for each of the periods presented. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2009, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Short Fixed-Income Fund as of February 28, 2009, the results of its operations for the six months then ended, the changes in its net assets for the six months ended February 28, 2009 and for the year ended August 31, 2008, and the financial highlights for the six months ended February 28, 2009 and for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 8, 2009
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
Fidelity Investments Money
Management, Inc.
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
SFI-USAN-0409 1.784905.106
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Short Fixed-Income
Fund - Institutional Class
Semiannual Report
February 28, 2009
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
|
|
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2008 to February 28, 2009).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that in the underlying Fidelity Central Funds, will indirectly bear its pro appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholderrata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .79% |
|
|
|
Actual |
| $ 1,000.00 | $ 981.10 | $ 3.88 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.88 | $ 3.96 |
Class T | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 981.20 | $ 3.78 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
Class B | 1.55% |
|
|
|
Actual |
| $ 1,000.00 | $ 972.90 | $ 7.58 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | 1.60% |
|
|
|
Actual |
| $ 1,000.00 | $ 976.10 | $ 7.84 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.86 | $ 8.00 |
Institutional Class | .54% |
|
|
|
Actual |
| $ 1,000.00 | $ 985.70 | $ 2.66 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.12 | $ 2.71 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following table is based on the combined investments of the Fund and its pro-rata share of the investments in each non-money market Fidelity Central Fund.
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2009 | As of August 31, 2008 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 8.7% |
| ![]() | AAA 12.6% |
| ||
![]() | AA 4.4% |
| ![]() | AA 4.9% |
| ||
![]() | A 6.9% |
| ![]() | A 7.8% |
| ||
![]() | BBB 9.8% |
| ![]() | BBB 13.4% |
| ||
![]() | BB and Below 1.3% |
| ![]() | BB and Below 0.8% |
| ||
![]() | Not Rated 0.3% |
| ![]() | Not Rated 0.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. |
Weighted Average Maturity as of February 28, 2009 | ||
|
| 6 months ago |
Years | 2.3 | 1.8 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of February 28, 2009 | ||
|
| 6 months ago |
Years | 1.7 | 1.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2009* | As of August 31, 2008** | ||||||
![]() | Corporate Bonds 14.8% |
| ![]() | Corporate Bonds 16.5% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related Securities 7.3% |
| ![]() | CMOs and Other Mortgage Related Securities 10.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 4.4% |
| ** Foreign investments | 6.4% |
| ||
* Futures and Swaps | 8.1% |
| ** Futures and Swaps | 16.1% |
|
† Short-Term Investments and Net Other Assets are not included in the pie chart. | |||||||
†† Includes FDIC Guaranteed Corporate Securities |
A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.
Semiannual Report
Investments February 28, 2009
Showing Percentage of Net Assets
Nonconvertible Bonds - 14.8% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 1.1% | ||||
Auto Components - 0.4% | ||||
DaimlerChrysler NA Holding Corp. 5.75% 8/10/09 | $ 4,820,000 | $ 4,786,877 | ||
Media - 0.7% | ||||
AOL Time Warner, Inc. 6.75% 4/15/11 | 1,000,000 | 1,014,834 | ||
Comcast Cable Communications, Inc. 6.75% 1/30/11 | 2,645,000 | 2,740,725 | ||
Comcast Corp. 5.85% 1/15/10 | 2,000,000 | 2,024,738 | ||
Time Warner Cable, Inc. 5.4% 7/2/12 | 1,245,000 | 1,197,806 | ||
Viacom, Inc. 5.75% 4/30/11 | 860,000 | 833,955 | ||
| 7,812,058 | |||
TOTAL CONSUMER DISCRETIONARY | 12,598,935 | |||
CONSUMER STAPLES - 0.2% | ||||
Food Products - 0.2% | ||||
Kraft Foods, Inc. 5.625% 8/11/10 | 2,810,000 | 2,886,997 | ||
ENERGY - 1.2% | ||||
Oil, Gas & Consumable Fuels - 1.2% | ||||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (e) | 1,865,000 | 1,854,312 | ||
Chevron Corp. 3.45% 3/3/12 | 3,121,000 | 3,128,703 | ||
Delek & Avner-Yam Tethys Ltd. 5.326% 8/1/13 (e) | 2,092,117 | 1,956,925 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 2,045,000 | 2,045,000 | ||
7.5% 10/1/09 | 1,525,000 | 1,553,783 | ||
Enterprise Products Operating LP 4.625% 10/15/09 | 3,070,000 | 3,054,963 | ||
Petroleum Export Ltd.: | ||||
4.623% 6/15/10 (e) | 505,000 | 467,600 | ||
4.633% 6/15/10 (e) | 303,333 | 280,890 | ||
| 14,342,176 | |||
FINANCIALS - 5.1% | ||||
Capital Markets - 1.0% | ||||
Bear Stearns Companies, Inc.: | ||||
3.25% 3/25/09 | 1,565,000 | 1,565,059 | ||
5.85% 7/19/10 | 4,015,000 | 4,049,401 | ||
Credit Suisse USA, Inc. 0.5275% 6/5/09 (j) | 2,875,000 | 2,852,630 | ||
Janus Capital Group, Inc. 6.125% 9/15/11 | 955,000 | 668,353 | ||
Morgan Stanley: | ||||
5.05% 1/21/11 | 1,283,000 | 1,265,310 | ||
6.75% 4/15/11 | 1,695,000 | 1,701,946 | ||
| 12,102,699 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Commercial Banks - 1.6% | ||||
American Express Bank FSB 0.5369% 4/26/10 (j) | $ 1,576,000 | $ 1,470,025 | ||
Bank of America NA 1.8219% 5/12/10 (j) | 2,350,000 | 2,295,957 | ||
Bank One Corp. 7.875% 8/1/10 | 885,000 | 913,184 | ||
Chase Manhattan Corp. 7.875% 6/15/10 | 1,990,000 | 2,036,705 | ||
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (e)(j) | 147,614 | 116,615 | ||
HSBC Holdings PLC: | ||||
1.6125% 10/6/16 (j) | 145,000 | 116,276 | ||
7.5% 7/15/09 | 1,215,000 | 1,220,458 | ||
Korea Development Bank 3.875% 3/2/09 | 1,600,000 | 1,600,000 | ||
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (e)(j) | 91,476 | 76,528 | ||
National Australia Bank Ltd. 8.6% 5/19/10 | 1,260,000 | 1,299,851 | ||
Santander Issuances SA Unipersonal 1.885% 6/20/16 (e)(j) | 442,865 | 333,450 | ||
Sovereign Bank 2.88% 8/1/13 (j) | 207,598 | 154,820 | ||
US Bancorp 4.5% 7/29/10 | 1,120,000 | 1,131,342 | ||
Wachovia Corp. 1.2244% 10/15/11 (j) | 1,598,000 | 1,417,824 | ||
Wells Fargo & Co. 3.98% 10/29/10 | 5,710,000 | 5,555,636 | ||
| 19,738,671 | |||
Consumer Finance - 0.8% | ||||
Capital One Financial Corp. 2.4694% 9/10/09 (j) | 1,576,000 | 1,517,447 | ||
Household Finance Corp.: | ||||
4.125% 11/16/09 | 2,280,000 | 2,261,117 | ||
4.75% 5/15/09 | 1,563,000 | 1,565,012 | ||
MBNA Capital I 8.278% 12/1/26 | 1,200,000 | 660,000 | ||
Nelnet, Inc.: | ||||
5.125% 6/1/10 | 550,000 | 333,398 | ||
7.4% 9/29/36 (j) | 2,860,000 | 429,000 | ||
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (e) | 2,090,000 | 1,963,674 | ||
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (e) | 638,108 | 543,058 | ||
| 9,272,706 | |||
Diversified Financial Services - 0.6% | ||||
Bank of America Corp.: | ||||
4.375% 12/1/10 | 859,000 | 799,845 | ||
7.4% 1/15/11 | 275,000 | 255,305 | ||
7.8% 2/15/10 | 522,000 | 495,783 | ||
BTM Curacao Holding NV 1.8975% 12/19/16 (e)(j) | 239,868 | 185,359 | ||
Citigroup Funding, Inc. 0.4731% 4/23/09 (j) | 1,125,000 | 1,111,368 | ||
Citigroup, Inc. 1.3356% 5/18/11 (j) | 1,200,000 | 1,003,985 | ||
Iberbond 2004 PLC 4.826% 12/24/17 (m) | 2,198,532 | 1,780,811 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
ICB OJSC 6.2% 9/29/15 (Issued by Or-ICB for ICB OJSC) (j) | $ 270,000 | $ 146,679 | ||
JPMorgan Chase & Co. 4.891% 9/1/15 (j) | 2,440,000 | 1,959,647 | ||
| 7,738,782 | |||
Insurance - 0.2% | ||||
Metropolitan Life Global Funding I 2.2163% 6/25/10 (e)(j) | 2,105,000 | 1,999,540 | ||
Real Estate Investment Trusts - 0.7% | ||||
Brandywine Operating Partnership LP 5.625% 12/15/10 | 2,910,000 | 2,570,505 | ||
Colonial Properties Trust 4.75% 2/1/10 | 1,245,000 | 1,190,434 | ||
Developers Diversified Realty Corp. 5% 5/3/10 | 1,310,000 | 917,000 | ||
Duke Realty LP: | ||||
5.25% 1/15/10 | 615,000 | 586,364 | ||
5.625% 8/15/11 | 915,000 | 779,586 | ||
6.95% 3/15/11 | 719,000 | 636,178 | ||
Mack-Cali Realty LP 7.25% 3/15/09 | 520,000 | 519,077 | ||
Simon Property Group LP 4.6% 6/15/10 | 1,130,000 | 1,082,496 | ||
| 8,281,640 | |||
Thrifts & Mortgage Finance - 0.2% | ||||
Countrywide Home Loans, Inc. 4.125% 9/15/09 | 1,163,000 | 1,152,317 | ||
Independence Community Bank Corp. 3.585% 6/20/13 (j) | 1,123,347 | 808,810 | ||
| 1,961,127 | |||
TOTAL FINANCIALS | 61,095,165 | |||
HEALTH CARE - 0.3% | ||||
Health Care Providers & Services - 0.2% | ||||
UnitedHealth Group, Inc.: | ||||
4.125% 8/15/09 | 675,000 | 675,128 | ||
5.125% 11/15/10 | 1,643,000 | 1,619,388 | ||
| 2,294,516 | |||
Pharmaceuticals - 0.1% | ||||
Roche Holdings, Inc. 4.5% 3/1/12 (e) | 1,600,000 | 1,626,298 | ||
TOTAL HEALTH CARE | 3,920,814 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INDUSTRIALS - 1.7% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (e) | $ 2,600,000 | $ 2,593,872 | ||
Air Freight & Logistics - 0.3% | ||||
FedEx Corp. 5.5% 8/15/09 | 3,900,000 | 3,934,468 | ||
Airlines - 0.5% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.855% 10/15/10 | 110,680 | 109,020 | ||
6.978% 10/1/12 | 46,555 | 43,063 | ||
7.024% 4/15/11 | 2,000,000 | 1,940,000 | ||
Continental Airlines, Inc. 7.056% 3/15/11 | 749,000 | 726,530 | ||
Delta Air Lines, Inc. pass-thru trust certificates 7.57% 11/18/10 | 1,645,000 | 1,505,175 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
6.071% 9/1/14 | 266,743 | 258,740 | ||
6.201% 3/1/10 | 216,822 | 204,897 | ||
6.602% 9/1/13 | 525,364 | 496,469 | ||
7.186% 10/1/12 | 651,521 | 623,832 | ||
| 5,907,726 | |||
Building Products - 0.0% | ||||
Masco Corp. 2.3988% 3/12/10 (j) | 338,969 | 304,104 | ||
Commercial Services & Supplies - 0.3% | ||||
R.R. Donnelley & Sons Co.: | ||||
3.75% 4/1/09 | 1,265,000 | 1,260,597 | ||
5.625% 1/15/12 | 3,030,000 | 2,671,536 | ||
| 3,932,133 | |||
Industrial Conglomerates - 0.4% | ||||
Covidien International Finance SA 5.15% 10/15/10 | 2,900,000 | 2,969,385 | ||
Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (e) | 980,000 | 1,005,200 | ||
| 3,974,585 | |||
TOTAL INDUSTRIALS | 20,646,888 | |||
INFORMATION TECHNOLOGY - 0.2% | ||||
Computers & Peripherals - 0.2% | ||||
Hewlett-Packard Co. 4.25% 2/24/12 | 1,820,000 | 1,842,512 | ||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
National Semiconductor Corp. 2.2463% 6/15/10 (j) | 393,509 | 341,842 | ||
TOTAL INFORMATION TECHNOLOGY | 2,184,354 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
TELECOMMUNICATION SERVICES - 2.9% | ||||
Diversified Telecommunication Services - 2.1% | ||||
Ameritech Capital Funding Corp. 6.25% 5/18/09 | $ 1,765,000 | $ 1,775,611 | ||
BellSouth Corp. 4.2% 9/15/09 | 1,775,000 | 1,795,610 | ||
Deutsche Telekom International Financial BV 5.375% 3/23/11 | 4,000,000 | 4,086,044 | ||
SBC Communications, Inc. 5.875% 2/1/12 | 486,000 | 502,184 | ||
Telecom Italia Capital SA 4% 1/15/10 | 4,770,000 | 4,687,116 | ||
Telefonica Emisiones SAU 5.984% 6/20/11 | 4,000,000 | 4,137,596 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 2,455,000 | 2,479,550 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 3,435,000 | 3,627,374 | ||
Verizon New England, Inc. 6.5% 9/15/11 | 1,475,000 | 1,516,793 | ||
| 24,607,878 | |||
Wireless Telecommunication Services - 0.8% | ||||
America Movil SAB de CV 4.125% 3/1/09 | 3,925,000 | 3,925,000 | ||
Verizon Wireless Capital LLC 5.25% 2/1/12 (e) | 1,252,000 | 1,234,202 | ||
Vodafone Group PLC: | ||||
5.5% 6/15/11 | 3,380,000 | 3,427,641 | ||
7.75% 2/15/10 | 950,000 | 987,376 | ||
| 9,574,219 | |||
TOTAL TELECOMMUNICATION SERVICES | 34,182,097 | |||
UTILITIES - 2.1% | ||||
Electric Utilities - 1.1% | ||||
Commonwealth Edison Co. 5.4% 12/15/11 | 992,000 | 1,008,844 | ||
Entergy Corp. 7.75% 12/15/09 (e) | 2,500,000 | 2,396,203 | ||
Exelon Corp. 4.45% 6/15/10 | 3,750,000 | 3,713,591 | ||
Pepco Holdings, Inc. 4% 5/15/10 | 1,125,000 | 1,099,451 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 2,181,000 | 2,240,266 | ||
Southern Co. 1.9513% 8/20/10 (j) | 2,505,000 | 2,441,123 | ||
| 12,899,478 | |||
Independent Power Producers & Energy Traders - 0.4% | ||||
Constellation Energy Group, Inc. 6.125% 9/1/09 | 3,035,000 | 3,036,942 | ||
PSEG Power LLC 3.75% 4/1/09 | 1,415,000 | 1,415,218 | ||
| 4,452,160 | |||
Multi-Utilities - 0.6% | ||||
Dominion Resources, Inc.: | ||||
2.9213% 6/17/10 (j) | 1,505,000 | 1,459,585 | ||
6.3% 9/30/66 (j) | 1,680,000 | 991,200 | ||
DTE Energy Co. 7.05% 6/1/11 | 1,600,000 | 1,614,946 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
KeySpan Corp. 7.625% 11/15/10 | $ 790,000 | $ 823,415 | ||
NiSource Finance Corp. 7.875% 11/15/10 | 780,000 | 763,912 | ||
NSTAR 8% 2/15/10 | 715,000 | 743,078 | ||
Sempra Energy 4.75% 5/15/09 | 1,055,000 | 1,055,093 | ||
| 7,451,229 | |||
TOTAL UTILITIES | 24,802,867 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $184,306,366) | 176,660,293 | |||
U.S. Government and Government Agency Obligations - 58.0% | ||||
| ||||
U.S. Government Agency Obligations - 18.9% | ||||
Fannie Mae: | ||||
0% 9/25/09 | 14,920,000 | 14,869,391 | ||
1.75% 3/23/11 | 31,250,000 | 31,295,938 | ||
2% 1/9/12 | 23,230,000 | 23,333,699 | ||
2.75% 2/5/14 | 3,063,000 | 3,061,919 | ||
3% 7/12/10 | 53,000,000 | 54,110,774 | ||
3.625% 8/15/11 | 12,000,000 | 12,599,448 | ||
Freddie Mac: | ||||
1.5% 1/7/11 | 75,303,000 | 75,235,980 | ||
2.125% 3/23/12 | 12,185,000 | 12,175,106 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 226,682,255 | |||
U.S. Treasury Obligations - 38.0% | ||||
U.S. Treasury Notes: | ||||
0.875% 1/31/11 (d)(n) | 161,691,000 | 161,343,002 | ||
0.875% 2/28/11 (n) | 21,384,000 | 21,314,107 | ||
1.125% 12/15/11 | 68,378,000 | 68,020,110 | ||
1.25% 11/30/10 | 63,447,000 | 63,744,566 | ||
1.375% 2/15/12 | 12,000,000 | 11,987,760 | ||
1.75% 11/15/11 | 11,568,000 | 11,705,428 | ||
4.625% 8/31/11 | 14,209,000 | 15,407,884 | ||
4.875% 5/31/11 (g)(h) | 86,098,000 | 93,275,043 | ||
4.875% 7/31/11 | 6,861,000 | 7,468,308 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 454,266,208 | |||
U.S. Government and Government Agency Obligations - continued | ||||
|
| Principal Amount | Value | |
Other Government Related - 1.1% | ||||
Bank of America Corp. 1.4744% 4/30/12 | $ 1,000,000 | $ 1,004,479 | ||
Goldman Sachs Group, Inc.: | ||||
1.4913% 11/9/11 (FDIC Guaranteed) (f)(j) | 4,220,000 | 4,214,311 | ||
1.625% 7/15/11 (FDIC Guaranteed) (f) | 2,120,000 | 2,109,470 | ||
JPMorgan Chase & Co. 1.65% 2/23/11 | 4,010,000 | 4,011,091 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (f) | 2,140,000 | 2,206,135 | ||
TOTAL OTHER GOVERNMENT RELATED | 13,545,486 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $690,381,662) | 694,493,949 | |||
U.S. Government Agency - Mortgage Securities - 8.0% | ||||
| ||||
Fannie Mae - 6.6% | ||||
4.082% 6/1/35 (j) | 251,976 | 253,566 | ||
4.175% 5/1/35 (j) | 1,100,695 | 1,105,259 | ||
4.263% 7/1/35 (j) | 213,801 | 215,895 | ||
4.291% 5/1/33 (j) | 25,872 | 26,084 | ||
4.303% 3/1/33 (j) | 54,501 | 55,400 | ||
4.318% 7/1/35 (j) | 338,552 | 341,961 | ||
4.331% 2/1/35 (j) | 391,353 | 393,904 | ||
4.34% 1/1/35 (j) | 125,926 | 128,011 | ||
4.361% 10/1/37 (j) | 694,042 | 707,302 | ||
4.376% 2/1/35 (j) | 912,424 | 926,660 | ||
4.38% 7/1/33 (j) | 642,775 | 653,808 | ||
4.405% 8/1/35 (j) | 186,021 | 187,568 | ||
4.423% 5/1/35 (j) | 64,309 | 65,250 | ||
4.43% 6/1/35 (j) | 651,121 | 658,051 | ||
4.432% 3/1/35 (j) | 182,064 | 185,008 | ||
4.455% 2/1/35 (j) | 1,295,780 | 1,314,087 | ||
4.456% 7/1/35 (j) | 3,213,080 | 3,197,563 | ||
4.487% 10/1/33 (j) | 968,055 | 968,389 | ||
4.548% 10/1/33 (j) | 82,508 | 83,306 | ||
4.55% 10/1/35 (j) | 1,506,202 | 1,525,812 | ||
4.552% 5/1/35 (j) | 1,955,206 | 1,992,200 | ||
4.562% 6/1/33 (j) | 1,142,178 | 1,167,042 | ||
4.576% 7/1/35 (j) | 1,740,987 | 1,774,526 | ||
4.6% 10/1/33 (j) | 89,527 | 89,761 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
4.649% 10/1/35 (j) | $ 233,098 | $ 235,205 | ||
4.667% 7/1/35 (j) | 385,783 | 393,160 | ||
4.686% 10/1/34 (j) | 576,981 | 581,742 | ||
4.688% 7/1/35 (j) | 561,349 | 572,465 | ||
4.701% 11/1/35 (j) | 738,331 | 755,604 | ||
4.739% 8/1/35 (j) | 643,955 | 653,545 | ||
4.742% 12/1/34 (j) | 98,409 | 99,521 | ||
4.747% 4/1/35 (j) | 39,034 | 39,663 | ||
4.77% 7/1/35 (j) | 5,996,258 | 6,126,536 | ||
4.784% 8/1/35 (j) | 309,115 | 316,268 | ||
4.785% 2/1/36 (j) | 1,867,869 | 1,912,129 | ||
4.792% 1/1/35 (j) | 74,678 | 75,765 | ||
4.806% 11/1/34 (j) | 294,241 | 297,976 | ||
4.81% 2/1/36 (j) | 123,014 | 124,829 | ||
4.853% 1/1/35 (j) | 673,957 | 684,228 | ||
4.893% 2/1/36 (j) | 9,015,167 | 9,217,143 | ||
4.919% 7/1/35 (j) | 1,304,613 | 1,333,585 | ||
4.935% 7/1/34 (j) | 392,168 | 399,296 | ||
4.98% 5/1/35 (j) | 299,565 | 301,715 | ||
4.987% 7/1/35 (j) | 6,497,213 | 6,609,517 | ||
5% 3/1/18 to 6/1/18 | 1,986,940 | 2,057,800 | ||
5.003% 9/1/34 (j) | 1,436,931 | 1,455,558 | ||
5.042% 3/1/37 (j) | 677,554 | 689,549 | ||
5.053% 7/1/35 (j) | 1,574,838 | 1,612,112 | ||
5.089% 9/1/34 (j) | 109,536 | 110,755 | ||
5.125% 5/1/36 (j) | 610,501 | 623,667 | ||
5.141% 5/1/35 (j) | 73,383 | 74,861 | ||
5.156% 9/1/35 (j) | 3,631,459 | 3,726,306 | ||
5.157% 9/1/35 (j) | 2,081,588 | 2,136,031 | ||
5.16% 10/1/18 (j) | 44,697 | 45,245 | ||
5.185% 3/1/35 (j) | 60,870 | 61,963 | ||
5.193% 6/1/35 (j) | 400,396 | 403,903 | ||
5.198% 3/1/35 (j) | 65,977 | 66,299 | ||
5.331% 10/1/35 (j) | 387,705 | 398,744 | ||
5.379% 11/1/35 (j) | 567,381 | 584,961 | ||
5.496% 2/1/35 (j) | 20,437 | 20,629 | ||
5.5% 7/1/13 to 6/1/19 | 7,460,282 | 7,777,481 | ||
5.51% 11/1/36 (j) | 687,712 | 700,792 | ||
5.557% 5/1/36 (j) | 1,634,326 | 1,697,950 | ||
6.192% 2/1/35 (j) | 60,253 | 61,287 | ||
6.5% 6/1/11 to 3/1/35 | 5,261,462 | 5,538,233 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae - continued | ||||
7% 1/1/16 to 6/1/32 | $ 519,547 | $ 551,895 | ||
7.5% 5/1/12 to 10/1/14 | 50,284 | 53,059 | ||
11.5% 11/1/15 | 15,443 | 16,073 | ||
TOTAL FANNIE MAE | 79,211,458 | |||
Freddie Mac - 1.3% | ||||
3.456% 2/1/34 (j) | 99,766 | 99,662 | ||
3.883% 1/1/35 (j) | 210,703 | 212,476 | ||
4.275% 6/1/35 (j) | 176,565 | 179,080 | ||
4.315% 12/1/34 (j) | 145,811 | 148,172 | ||
4.361% 2/1/35 (j) | 171,124 | 173,444 | ||
4.407% 3/1/35 (j) | 180,340 | 182,977 | ||
4.422% 4/1/35 (j) | 921,618 | 935,291 | ||
4.471% 3/1/35 (j) | 155,611 | 157,901 | ||
4.481% 4/1/35 (j) | 710,925 | 724,845 | ||
4.522% 2/1/35 (j) | 296,889 | 301,707 | ||
4.592% 1/1/35 (j) | 1,805,427 | 1,840,607 | ||
4.62% 2/1/35 (j) | 126,616 | 128,385 | ||
4.696% 11/1/35 (j) | 1,239,046 | 1,269,868 | ||
4.705% 12/1/35 (j) | 846,056 | 849,998 | ||
4.745% 4/1/35 (j) | 1,094,771 | 1,114,376 | ||
4.777% 4/1/35 (j) | 628,183 | 633,558 | ||
4.84% 11/1/35 (j) | 609,130 | 618,702 | ||
4.921% 9/1/35 (j) | 710,036 | 727,295 | ||
4.976% 4/1/35 (j) | 1,193,215 | 1,205,459 | ||
5.117% 1/1/36 (j) | 565,133 | 574,685 | ||
5.282% 8/1/36 (j) | 428,829 | 440,929 | ||
5.288% 3/1/35 (j) | 105,722 | 106,296 | ||
5.294% 6/1/35 (j) | 407,657 | 417,244 | ||
5.333% 8/1/34 (j) | 268,879 | 272,529 | ||
5.353% 6/1/37 (j) | 779,147 | 799,739 | ||
5.526% 2/1/35 (j) | 190,567 | 191,616 | ||
5.576% 5/1/36 (j) | 1,570,708 | 1,625,645 | ||
8.5% 5/1/26 to 7/1/28 | 133,892 | 143,599 | ||
12% 11/1/19 | 8,156 | 9,026 | ||
TOTAL FREDDIE MAC | 16,085,111 | |||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Government National Mortgage Association - 0.1% | ||||
4.25% 7/20/34 (j) | $ 304,253 | $ 305,385 | ||
7% 1/15/25 to 6/15/32 | 577,184 | 613,962 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 919,347 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $94,438,099) | 96,215,916 | |||
Asset-Backed Securities - 9.2% | ||||
| ||||
Accredited Mortgage Loan Trust: | ||||
Series 2003-3 Class A1, 4.46% 1/25/34 | 584,781 | 330,767 | ||
Series 2004-4 Class A2D, 0.8238% 1/25/35 (j) | 163,029 | 58,104 | ||
Series 2005-1 Class M1, 0.9438% 4/25/35 (j) | 236,650 | 139,592 | ||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 1.2238% 7/25/36 (j) | 105,883 | 815 | ||
Class M8, 1.3238% 7/25/36 (j) | 52,466 | 278 | ||
Class M9, 2.1738% 7/25/36 (j) | 34,668 | 121 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE1 Class M1, 1.4488% 11/25/33 (j) | 405,273 | 211,077 | ||
Series 2003-HS1: | ||||
Class M1, 1.5988% 6/25/33 (j) | 35 | 35 | ||
Class M2, 3.0988% 6/25/33 (j) | 15,790 | 10,976 | ||
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (j) | 37,690 | 33,376 | ||
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (j) | 78,904 | 34,345 | ||
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (j) | 33,286 | 27,263 | ||
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (j) | 4,372 | 3,981 | ||
Series 2006-HE2: | ||||
Class M3, 0.8138% 5/25/36 (j) | 46,008 | 1,417 | ||
Class M4, 0.8738% 5/25/36 (j) | 38,880 | 820 | ||
Class M5, 0.9138% 5/25/36 (j) | 56,527 | 882 | ||
Series 2006-OP1: | ||||
Class M4, 0.8438% 4/25/36 (j) | 21,600 | 883 | ||
Class M5, 0.8638% 4/25/36 (j) | 20,520 | 704 | ||
Advanta Business Card Master Trust: | ||||
Series 2006-C1 Class C1, 0.95% 10/20/14 (j) | 151,049 | 10,573 | ||
Series 2007-A4 Class A4, 0.5% 4/22/13 (j) | 553,586 | 409,654 | ||
Series 2007-B1 Class B, 0.72% 12/22/14 (j) | 319,702 | 47,955 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (e)(j) | 124,070 | 122,383 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (e)(j) | 163,986 | 148,869 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-1: | ||||
Class C, 4.73% 7/6/10 | $ 71,741 | $ 71,248 | ||
Class D, 5.04% 5/6/11 | 2,500,000 | 2,383,137 | ||
Series 2005-DA Class A4, 5.02% 11/6/12 | 2,060,000 | 1,809,291 | ||
Series 2006-1 Class D, 5.49% 4/6/12 | 1,115,000 | 816,830 | ||
AmeriCredit Prime Automobile Receivables Trust Series 2007-2M Class A3, 5.22% 4/8/10 | 1,240,000 | 1,096,537 | ||
Ameriquest Mortgage Securities, Inc. Series 2006-M3 Class M7, 1.3238% 10/25/36 (j) | 22,705 | 14 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.1738% 12/25/33 (j) | 20,599 | 13,036 | ||
Series 2004-R10 Class M1, 1.1738% 11/25/34 (j) | 1,456,076 | 648,583 | ||
Series 2004-R11 Class M1, 1.1338% 11/25/34 (j) | 1,922,989 | 943,719 | ||
Series 2004-R2: | ||||
Class M1, 0.9038% 4/25/34 (j) | 32,573 | 24,847 | ||
Class M3, 1.0238% 4/25/34 (j) | 21,351 | 8,132 | ||
Series 2004-R9 Class M2, 1.1238% 10/25/34 (j) | 1,515,000 | 613,322 | ||
Series 2005-R1 Class M1, 0.9238% 3/25/35 (j) | 119,578 | 69,702 | ||
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (j) | 108,461 | 74,358 | ||
Series 2005-R2 Class M1, 0.9238% 4/25/35 (j) | 262,030 | 150,865 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (j) | 113,964 | 57,102 | ||
Argent Securities, Inc.: | ||||
Series 2006-M1 Class M7, 1.4738% 7/25/36 (j) | 96,031 | 259 | ||
Series 2006-M2 Class M7, 1.3738% 9/25/36 (j) | 87,785 | 79 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7: | ||||
Class A2, 0.7794% 3/1/34 (j) | 82,560 | 16,706 | ||
Class M1, 1.0794% 3/1/34 (j) | 2,500,000 | 1,293,406 | ||
Series 2003-W9 Class M1, 1.1638% 3/25/34 (j) | 1,544,402 | 671,126 | ||
Series 2004-W11 Class M2, 1.1738% 11/25/34 (j) | 71,215 | 26,407 | ||
Series 2004-W5 Class M1, 1.0738% 4/25/34 (j) | 916,184 | 539,274 | ||
Series 2004-W7: | ||||
Class M1, 1.0238% 5/25/34 (j) | 75,384 | 23,833 | ||
Class M2, 1.0738% 5/25/34 (j) | 65,880 | 35,597 | ||
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (j) | 196,970 | 69,309 | ||
Asset Backed Funding Corp. Series 2006-OPT2 | 165,348 | 2,067 | ||
Asset Backed Funding Corp. Trust Series 2005-HE1 | 182,004 | 88,167 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (j) | $ 30,965 | $ 13,778 | ||
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (j) | 68,083 | 35,447 | ||
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (j) | 338,688 | 146,758 | ||
Series 2004-HE3: | ||||
Class M1, 1.0138% 6/25/34 (j) | 29,981 | 11,866 | ||
Class M2, 1.5938% 6/25/34 (j) | 586,766 | 367,340 | ||
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (j) | 622,485 | 239,936 | ||
Series 2006-HE6: | ||||
Class M7, 1.2738% 11/25/36 (j) | 52,272 | 643 | ||
Class M9, 2.6238% 11/25/36 (j) | 139,644 | 712 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (b)(e)(j) | 432,000 | 0 | ||
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (j) | 435,758 | 391,774 | ||
Bayview Financial Acquisition Trust Series 2004-C | 499,567 | 303,695 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (j) | 449,521 | 279,476 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2004-HE8 Class M1, 1.1238% 9/25/34 (j) | 906,926 | 153,973 | ||
Series 2005-3 Class A1, 0.9238% 9/25/35 (j) | 13,852 | 10,103 | ||
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (j) | 122,904 | 55,837 | ||
Series 2005-HE2 Class M1, 0.9738% 2/25/35 (j) | 193,704 | 64,168 | ||
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (j) | 554,923 | 424,649 | ||
Brazos Higher Education Authority, Inc. Student Loan Rev. Series 2006 A2R, 5.03% 12/1/41 | 2,370,000 | 2,227,800 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (j) | 291,525 | 260,638 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (j) | 62,720 | 53,946 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2005-1 Class B, 0.83% 6/15/10 (j) | 897,623 | 884,159 | ||
Series 2006-1 Class B, 5.26% 10/15/10 | 500,000 | 492,404 | ||
Series 2007-1 Class B, 5.15% 9/17/12 | 1,085,000 | 775,266 | ||
Series 2007-SN1 Class D, 6.05% 1/17/12 | 750,000 | 375,000 | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS Class D, 4.8% 9/15/12 | 1,220,000 | 1,173,352 | ||
Series 2006-C Class A3B, 0.465% 7/15/11 (j) | 48,436 | 45,068 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2007-A6 Class A6, 0.525% 5/15/13 (j) | 1,040,000 | 986,791 | ||
Series 2007-B5 Class B5, 5.4% 5/15/13 | 3,410,000 | 2,783,357 | ||
Series 2007-C3 Class C3, 0.745% 4/15/13 (e)(j) | 369,058 | 265,659 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Capital One Prime Auto Receivables Trust: | ||||
Series 2005-1 Class B, 4.58% 8/15/12 | $ 1,850,000 | $ 1,621,092 | ||
Series 2007-1 Class B1, 5.76% 12/15/13 | 1,060,000 | 854,460 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 0.92% 7/20/39 (e)(j) | 703,061 | 175,765 | ||
Class B, 1.22% 7/20/39 (e)(j) | 373,480 | 52,287 | ||
Class C, 1.57% 7/20/39 (e)(j) | 478,070 | 43,026 | ||
Carmax Auto Owner Trust: | ||||
Series 2006-1 Class C, 5.76% 11/15/12 | 6,935,000 | 5,797,343 | ||
Series 2006-2 Class C, 5.53% 3/15/13 | 1,070,000 | 874,056 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (j) | 144,785 | 6,964 | ||
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (j) | 54,000 | 1,080 | ||
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (j) | 23,652 | 641 | ||
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (j) | 228,766 | 55,380 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (e)(j) | 34,619 | 25,090 | ||
Chase Issuance Trust: | ||||
Series 2004-3 Class C, 0.9313% 6/15/12 (j) | 67,349 | 60,710 | ||
Series 2006-3 Class C, 0.6913% 6/15/11 (j) | 2,905,000 | 2,822,389 | ||
CIT Equipment Collateral Trust: | ||||
Series 2006-VT1: | ||||
Class B, 5.23% 2/20/13 | 113,396 | 111,714 | ||
Class D, 5.48% 2/20/13 | 126,272 | 114,493 | ||
Series 2006-VT2: | ||||
Class A3, 5.07% 2/20/10 | 982,763 | 981,743 | ||
Class D, 5.46% 4/20/14 | 43,297 | 21,649 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2007-B2 Class B2, 5% 4/2/12 | 4,320,000 | 3,824,505 | ||
Series 2007-B6 Class B6, 5% 11/8/12 | 3,410,000 | 2,830,300 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2003-HE4 Class A, 0.8838% 12/25/33 (e)(j) | 613,025 | 416,147 | ||
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (j) | 96,012 | 1,152 | ||
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (j) | 97,135 | 3,730 | ||
CNH Equipment Trust: | ||||
Series 2005-B Class B, 4.57% 7/16/12 | 830,000 | 710,237 | ||
Series 2007-A Class A3, 4.98% 10/15/10 | 754,572 | 752,983 | ||
CNH Wholesale Master Note Trust Series 2006-1A: | ||||
Class A, 0.515% 7/15/12 (e)(j) | 166,061 | 163,514 | ||
Class B, 0.735% 7/15/12 (e)(j) | 166,061 | 156,615 | ||
Countrywide Home Loan Trust Series 2006-13N | 41,917 | 4 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 1.3338% 5/25/33 (j) | $ 6,578 | $ 3,590 | ||
Series 2004-2 Class 3A4, 0.7238% 7/25/34 (j) | 86,799 | 16,378 | ||
Series 2004-3: | ||||
Class 3A4, 0.7238% 8/25/34 (j) | 364,848 | 195,263 | ||
Class M1, 0.9738% 6/25/34 (j) | 83,959 | 55,248 | ||
Class M4, 1.4438% 4/25/34 (j) | 20,283 | 9,610 | ||
Series 2004-4: | ||||
Class A, 0.8438% 8/25/34 (j) | 54,391 | 25,710 | ||
Class M2, 1.0038% 6/25/34 (j) | 74,616 | 49,383 | ||
Series 2005-1: | ||||
Class M1, 0.8938% 8/25/35 (j) | 65,059 | 46,908 | ||
Class MV2, 0.9138% 7/25/35 (j) | 179,453 | 125,164 | ||
Series 2005-3 Class MV1, 0.8938% 8/25/35 (j) | 314,626 | 274,257 | ||
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (j) | 60,254 | 49,778 | ||
CPS Auto Receivables Trust: | ||||
Series 2004-D Class A2, 3.86% 12/15/11 (e) | 19,350 | 17,657 | ||
Series 2007-C Class A3, 5.45% 5/15/12 (e) | 934,994 | 822,795 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2005-FIX1 Class A2, 4.31% 5/25/35 | 581,344 | 527,206 | ||
Discover Card Master Trust I: | ||||
Series 2006-1 Class B1, 0.605% 8/16/11 (j) | 269,957 | 267,756 | ||
Series 2006-2 Class B1, 0.575% 1/17/12 (j) | 369,058 | 330,751 | ||
Series 2007-1 Class B, 0.555% 8/15/12 (j) | 369,058 | 288,372 | ||
Diversified REIT Trust Series 2000-1A: | ||||
Class A2, 6.971% 3/8/10 (e) | 130,996 | 85,148 | ||
Class E, 6.971% 3/8/10 (e) | 865,000 | 259,500 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5: | ||||
Class AB1, 0.7453% 5/28/35 (j) | 159,655 | 87,804 | ||
Class AB3, 0.8983% 5/28/35 (j) | 67,441 | 35,206 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.6488% 8/25/34 (j) | 36,914 | 9,181 | ||
Series 2006-2 Class M1, 0.7838% 7/25/36 (j) | 1,430,000 | 32,461 | ||
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (j) | 571,298 | 161,035 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (j) | 2,881 | 1,517 | ||
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (j) | 61,941 | 56,722 | ||
Series 2006-FF5 Class 2A2, 0.5838% 4/25/36 (j) | 296,266 | 270,666 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (e) | 161,033 | 159,372 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class C, 5.68% 6/15/12 | 2,040,000 | 1,326,000 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Ford Credit Auto Owner Trust: - continued | ||||
Series 2006-C Class B, 5.3% 6/15/12 | $ 750,000 | $ 525,000 | ||
Series 2007-A: | ||||
Class B, 5.6% 10/15/12 | 490,000 | 343,000 | ||
Class C, 5.8% 2/15/13 | 775,000 | 485,717 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2006-3 Class B, 0.905% 6/15/11 (j) | 256,954 | 179,868 | ||
Series 2006-4 Class B, 1.005% 6/15/13 (j) | 98,086 | 49,464 | ||
Fosse Master Issuer PLC Series 2007-1A Class C2, 1.6925% 10/18/54 (e)(j) | 785,000 | 569,455 | ||
Franklin Auto Trust Series 2007-1: | ||||
Class A4, 5.03% 2/16/15 | 1,505,000 | 1,357,102 | ||
Class C, 5.43% 2/16/15 | 1,845,000 | 1,265,836 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 1.1488% 2/25/34 (j) | 102,727 | 29,276 | ||
Class M2, 1.2238% 2/25/34 (j) | 165,638 | 105,934 | ||
Series 2004-A Class M1, 1.2988% 1/25/34 (j) | 152,428 | 81,413 | ||
Series 2004-D: | ||||
Class M4, 1.4238% 11/25/34 (j) | 104,293 | 17,167 | ||
Class M5, 1.4738% 11/25/34 (j) | 66,415 | 5,092 | ||
Series 2005-A: | ||||
Class M1, 0.9038% 1/25/35 (j) | 13,258 | 12,219 | ||
Class M2, 0.9338% 1/25/35 (j) | 222,826 | 81,450 | ||
Class M3, 0.9638% 1/25/35 (j) | 120,398 | 51,451 | ||
Class M4, 1.1538% 1/25/35 (j) | 46,138 | 22,610 | ||
Series 2006-3 Class 2A1, 0.5438% 2/25/37 (j) | 9,792 | 9,519 | ||
Series 2006-A: | ||||
Class M4, 0.8738% 5/25/36 (j) | 114,804 | 1,573 | ||
Class M5, 0.9738% 5/25/36 (j) | 61,495 | 763 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (e)(j) | 298,944 | 201,404 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (e) | 1,024,950 | 923,193 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.8913% 4/15/31 (e)(j) | 45,558 | 28,246 | ||
Series 2005-2 Class IO, 0.5242% 9/15/17 (e)(l) | 62,751,242 | 170,263 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.5713% 9/17/12 (j) | 112,946 | 79,062 | ||
Class C, 0.7013% 9/17/12 (j) | 87,826 | 57,087 | ||
Series 2007-1 Class C, 0.7313% 3/15/13 (j) | 602,402 | 397,585 | ||
Series 2007-3 Class B, 5.49% 6/15/13 | 3,350,000 | 2,345,000 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Greenpoint Credit LLC Series 2001-1 Class 1A, 0.81% 4/20/32 (j) | $ 190,924 | $ 187,568 | ||
GSAMP Trust: | ||||
Series 2002-HE Class M1, 2.345% 11/20/32 (j) | 79,011 | 38,480 | ||
Series 2003-FM1 Class M1, 1.7% 3/20/33 (j) | 152,045 | 92,125 | ||
Series 2003-HE2 Class M1, 1.1238% 8/25/33 (j) | 253,099 | 180,670 | ||
Series 2004-AR1 Class M1, 1.1238% 6/25/34 (j) | 278,359 | 105,813 | ||
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (j) | 51,733 | 27,684 | ||
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (j) | 133,071 | 76,587 | ||
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (j) | 72,885 | 23,659 | ||
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (j) | 115,495 | 5,509 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.8138% 11/25/34 (j) | 2,013 | 949 | ||
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (j) | 359,053 | 331,735 | ||
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (j) | 54,734 | 695 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.5538% 5/25/30 (e)(j) | 1,028,238 | 462,707 | ||
Series 2006-3: | ||||
Class B, 0.8738% 9/25/46 (e)(j) | 783,117 | 125,299 | ||
Class C, 1.0238% 9/25/46 (e)(j) | 1,943,752 | 233,250 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (e)(j) | 447,098 | 228,020 | ||
Home Equity Asset Trust: | ||||
Series 2002-2 Class A4, 1.2338% 6/25/32 (j) | 5,664 | 1,550 | ||
Series 2002-3 Class A5, 1.3538% 2/25/33 (j) | 51 | 11 | ||
Series 2003-3: | ||||
Class A4, 1.3938% 2/25/33 (j) | 493 | 130 | ||
Class M1, 1.7638% 8/25/33 (j) | 126,927 | 57,877 | ||
Series 2003-4 Class M1, 1.6738% 10/25/33 (j) | 37,583 | 16,644 | ||
Series 2003-5: | ||||
Class A2, 1.1738% 12/25/33 (j) | 44,160 | 12,982 | ||
Class M1, 1.5238% 12/25/33 (j) | 43,448 | 26,121 | ||
Series 2003-7 Class A2, 1.2338% 3/25/34 (j) | 4,453 | 921 | ||
Series 2003-8 Class M1, 1.5538% 4/25/34 (j) | 690,776 | 320,394 | ||
Series 2004-1 Class M2, 2.1738% 6/25/34 (j) | 337,063 | 219,247 | ||
Series 2004-3 Class M2, 2.1738% 8/25/34 (j) | 423,139 | 257,308 | ||
Series 2004-7 Class A3, 0.8638% 1/25/35 (j) | 78 | 29 | ||
Series 2005-1 Class M1, 0.9038% 5/25/35 (j) | 165,529 | 147,898 | ||
Series 2005-3 Class M1, 0.8838% 8/25/35 (j) | 113,162 | 101,154 | ||
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (j) | 50,664 | 44,760 | ||
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (j) | 463,295 | 319,867 | ||
Series 2006-7 Class M4, 0.8538% 1/25/37 (j) | 145,584 | 670 | ||
Series 2006-8 Class 2A1, 0.5238% 3/25/37 (j) | 35,554 | 30,833 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (j) | $ 35,856 | $ 21,808 | ||
HSBC Automotive Trust Series 2006-2 Class A4, 5.67% 6/17/13 | 3,500,000 | 3,357,784 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (j) | 285,530 | 253,599 | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 0.8194% 1/20/35 (j) | 293,400 | 155,216 | ||
Class M2, 0.8494% 1/20/35 (j) | 220,060 | 107,851 | ||
Series 2005-3 Class A1, 0.6194% 1/20/35 (j) | 1,242,824 | 664,968 | ||
Series 2006-2: | ||||
Class M1, 0.74% 3/20/36 (j) | 80,841 | 42,279 | ||
Class M2, 0.76% 3/20/36 (j) | 133,676 | 65,633 | ||
Series 2006-3 Class A1V, 0.55% 3/20/36 (j) | 88,271 | 84,194 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (j) | 157,118 | 47,160 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2005-A: | ||||
Class B, 4.2% 2/15/12 | 412,569 | 399,805 | ||
Class C, 4.22% 2/15/12 | 31,307 | 31,252 | ||
Series 2006-B Class C, 5.25% 5/15/13 | 584,029 | 533,144 | ||
Series 2007-A Class A3A, 5.04% 1/17/12 | 1,949,281 | 1,951,599 | ||
JPMorgan Auto Receivables Trust Series 2006-A: | ||||
Class B, 5.36% 12/15/14 (e) | 237,645 | 227,970 | ||
Class C, 5.61% 12/15/14 (e) | 857,140 | 837,934 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 0.6038% 11/25/36 (j) | 157,766 | 67,051 | ||
Class MV1, 0.7038% 11/25/36 (j) | 128,153 | 13,013 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 4.0988% 12/27/09 (j) | 140,717 | 109,287 | ||
Series 2006-A Class 2A1, 1.4963% 9/27/21 (j) | 95,573 | 93,045 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (e)(j) | 387,247 | 3,872 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 1.7038% 6/25/33 (j) | 269,366 | 121,255 | ||
Series 2004-2: | ||||
Class M1, 1.0038% 6/25/34 (j) | 78,883 | 41,629 | ||
Class M2, 1.5538% 6/25/34 (j) | 56,076 | 42,745 | ||
Series 2005-WL1 Class M2, 1.0238% 6/25/35 (j) | 1,090,000 | 613,723 | ||
Series 2006-9 Class M4, 0.8438% 11/25/36 (j) | 46,063 | 88 | ||
Marriott Vacation Club Owner Trust: | ||||
Series 2005-2 Class A, 5.25% 10/20/27 (e) | 558,839 | 455,434 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Marriott Vacation Club Owner Trust: - continued | ||||
Series 2006-1A: | ||||
Class B, 5.827% 4/20/28 (e) | $ 133,506 | $ 102,092 | ||
Class C, 6.125% 4/20/28 (e) | 133,506 | 96,248 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (j) | 57,024 | 2,076 | ||
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (j) | 26,819 | 8 | ||
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (j) | 99,598 | 4,173 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (e)(j) | 1,620,000 | 1,482,786 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (j) | 75,644 | 48,567 | ||
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (j) | 843,220 | 587,196 | ||
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (j) | 330,113 | 234,042 | ||
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (j) | 215,442 | 99,204 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (j) | 5,525 | 3,199 | ||
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (j) | 66,856 | 37,816 | ||
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (j) | 51,624 | 29,898 | ||
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (j) | 138,792 | 24,075 | ||
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (j) | 130,741 | 62,861 | ||
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (j) | 61,906 | 29,857 | ||
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (j) | 56,009 | 19,102 | ||
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (j) | 50,738 | 17,289 | ||
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (j) | 64,800 | 31,219 | ||
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (j) | 28,806 | 63 | ||
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (j) | 515,607 | 487,216 | ||
Series 2006-NC4: | ||||
Class M4, 0.8238% 6/25/36 (j) | 43,200 | 449 | ||
Class M6, 0.9238% 6/25/36 (j) | 21,600 | 119 | ||
Series 2007-HE2 Class A2A, 0.5138% 1/25/37 (j) | 14,364 | 11,593 | ||
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (j) | 13,971 | 9,354 | ||
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (j) | 7,589 | 6,039 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (j) | 3,344 | 926 | ||
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (j) | 93,002 | 76,027 | ||
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (j) | 600,534 | 338,198 | ||
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (e)(j) | 522,624 | 299,997 | ||
Series 2002-NC3: | ||||
Class A3, 1.1538% 8/25/32 (j) | 4,374 | 784 | ||
Class M1, 1.5538% 8/25/32 (j) | 7,981 | 3,640 | ||
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (j) | 436,667 | 214,787 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley Home Equity Loans Trust: | ||||
Series 2006-3 Class M5, 0.8838% 4/25/36 (j) | $ 43,200 | $ 536 | ||
Series 2007-2 Class A1, 0.5738% 4/25/37 (j) | 82,794 | 62,881 | ||
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (j) | 85,242 | 78,501 | ||
National Collegiate Funding LLC Series 2004-GT1 | 1,725,000 | 155,250 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (l) | 1,790,750 | 336,607 | ||
Series 2005-2 Class AIO, 7.73% 3/25/12 (l) | 1,265,000 | 91,346 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (l) | 900,000 | 50,907 | ||
Series 2006-1 Class AIO, 5.5% 4/25/11 (l) | 1,410,000 | 98,700 | ||
Series 2006-2 Class AIO, 6% 8/25/11 (l) | 700,000 | 70,000 | ||
Series 2006-3: | ||||
Class A1, 0.5038% 9/25/19 (j) | 159,534 | 149,811 | ||
Class AIO, 7.1% 1/25/12 (l) | 5,140,000 | 750,594 | ||
Series 2006-4: | ||||
Class A1, 0.5038% 3/25/25 (j) | 129,978 | 115,962 | ||
Class AIO, 6.35% 2/27/12 (l) | 880,000 | 119,310 | ||
Navistar Financial Corp. Owner Trust Series 2005-A Class A4, 4.43% 1/15/14 | 1,012,508 | 978,686 | ||
New Century Home Equity Loan Trust: | ||||
Series 2003-6 Class M1, 1.5538% 1/25/34 (j) | 148,365 | 82,938 | ||
Series 2005-4 Class M2, 0.9838% 9/25/35 (j) | 181,094 | 26,967 | ||
Series 2005-D Class M2, 0.9438% 2/25/36 (j) | 37,735 | 2,551 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 0.9894% 11/1/52 (e)(j) | 1,000,000 | 120,000 | ||
Nomura Home Equity Loan Trust: | ||||
Series 2006-AF1 Class A1, 6.032% 10/25/36 | 193,051 | 168,256 | ||
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (j) | 123,336 | 703 | ||
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (j) | 105,616 | 95,592 | ||
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.9338% 10/30/45 (j) | 1,560,078 | 1,224,661 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.97% 3/20/10 (e)(j) | 71,885 | 25,160 | ||
Series 2006-1A Class A, 1.87% 3/20/11 (e)(j) | 149,278 | 59,711 | ||
Option One Mortgage Loan Trust Series 2004-3 | 43,654 | 27,466 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 1.1538% 9/25/34 (j) | 415,338 | 238,318 | ||
Class M3, 1.7238% 9/25/34 (j) | 797,630 | 178,715 | ||
Class M4, 1.9238% 9/25/34 (j) | 1,086,724 | 114,967 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Park Place Securities, Inc.: - continued | ||||
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (j) | $ 50,846 | $ 8,435 | ||
Series 2004-WHQ2: | ||||
Class A3E, 0.8938% 2/25/35 (j) | 176,824 | 137,232 | ||
Class M1, 1.0638% 2/25/35 (j) | 147,614 | 107,979 | ||
Series 2004-WWF1: | ||||
Class M2, 1.1538% 2/25/35 (j) | 204,098 | 119,815 | ||
Class M3, 1.2138% 2/25/35 (j) | 25,294 | 10,185 | ||
Class M4, 1.5738% 1/25/35 (j) | 1,905,000 | 275,135 | ||
Series 2005-WCH1: | ||||
Class M2, 0.9938% 1/25/35 (j) | 97,891 | 55,929 | ||
Class M3, 1.0338% 1/25/35 (j) | 60,718 | 23,994 | ||
Class M4, 1.3038% 1/25/35 (j) | 187,294 | 28,880 | ||
Series 2005-WHQ2: | ||||
Class M7, 1.7238% 5/25/35 (j) | 913,983 | 35,751 | ||
Class M9, 2.3538% 5/25/35 (j) | 75,060 | 2,164 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1: | ||||
Class M4, 0.8338% 9/25/36 (j) | 216,432 | 1,342 | ||
Class M5, 0.8638% 9/25/36 (j) | 107,892 | 475 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (e)(j) | 461,052 | 198,252 | ||
Rental Car Finance Corp. Series 2005-1A Class A2, 4.59% 6/25/11 (e) | 1,420,000 | 852,000 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 198,181 | 178,270 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (j) | 648 | 117 | ||
Santander Drive Auto Receivables Trust Series 2007-1 Class A3, 5.05% 9/15/11 | 1,083,423 | 1,060,248 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (j) | 239,868 | 114,070 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (e)(j) | 136,297 | 102,237 | ||
Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A1, 5.84% 5/20/18 (e) | 560,122 | 414,490 | ||
SLM Private Credit Student Loan Trust: | ||||
Series 2004 B Class A2, 2.1963% 6/15/21 (j) | 1,800,000 | 1,151,271 | ||
Series 2004-A: | ||||
Class B, 2.5763% 6/15/33 (j) | 400,000 | 196,125 | ||
Class C, 2.9463% 6/15/33 (j) | 1,181,482 | 531,667 | ||
Series 2004-B Class C, 2.8663% 9/15/33 (j) | 1,900,000 | 475,000 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 0.635% 8/15/11 (e)(j) | $ 219,499 | $ 186,574 | ||
Class C, 0.835% 8/15/11 (e)(j) | 100,094 | 75,071 | ||
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (j) | 29,737 | 19,327 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (j) | 11,579 | 4,659 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (j) | 17,421 | 7,698 | ||
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (j) | 373 | 0 | ||
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (e)(j) | 166,061 | 48,258 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 0.5613% 9/15/11 (j) | 667,440 | 537,289 | ||
Class B, 0.7413% 9/15/11 (j) | 499,154 | 199,662 | ||
Series 2007-AE1: | ||||
Class A, 0.555% 1/15/12 (j) | 124,178 | 86,925 | ||
Class B, 0.755% 1/15/12 (j) | 108,043 | 43,217 | ||
Class C, 1.055% 1/15/12 (j) | 134,266 | 40,280 | ||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 0.9113% 3/15/11 (e)(j) | 2,520,000 | 2,268,000 | ||
Swift Master Auto Receivables Trust: | ||||
Series 2007-1 Class A, 0.555% 6/15/12 (j) | 364,716 | 262,596 | ||
Series 2007-2 Class A, 1.105% 10/15/12 (j) | 1,515,000 | 984,750 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 0.9038% 9/25/34 (j) | 86,903 | 17,967 | ||
Series 2003-6HE Class A1, 0.9438% 11/25/33 (j) | 4,628 | 1,555 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-1A Class C, 0.785% 5/16/11 (e)(j) | 359,186 | 341,564 | ||
Series 2006-2: | ||||
Class B, 0.605% 10/17/11 (j) | 434,657 | 380,325 | ||
Class C, 0.805% 10/17/11 (j) | 408,370 | 330,064 | ||
Series 2007-1 Class C, 0.8313% 6/15/12 (j) | 465,653 | 299,652 | ||
Wachovia Auto Loan Owner Trust: | ||||
Series 2006-1 Class D, 5.42% 4/21/14 (e) | 3,615,000 | 2,770,545 | ||
Series 2006-2A: | ||||
Class A3, 5.23% 8/22/11 (e) | 1,555,545 | 1,548,190 | ||
Class D, 5.54% 12/20/12 (e) | 2,245,000 | 1,144,950 | ||
Series 2007-1 Class D, 5.65% 2/20/13 | 2,640,000 | 1,135,200 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (e) | 112,639 | 11 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
WaMu Asset-Backed Certificates Series 2006-HE3: | ||||
Class M4, 0.8538% 10/25/36 (j) | $ 76,507 | $ 1,385 | ||
Class M7, 1.2738% 10/25/36 (j) | 55,382 | 620 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 0.485% 9/16/13 (e)(j) | 697,226 | 664,050 | ||
Series 2006-C2A Class C2, 0.955% 8/15/15 (e)(j) | 888,516 | 386,043 | ||
Series 2006-C3A Class C3A, 0.835% 10/15/13 (e)(j) | 621,864 | 501,834 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (e) | 1,500,000 | 1,342,500 | ||
Series 2007-C1 Class C1, 0.855% 5/15/14 (e)(j) | 541,145 | 318,399 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (e)(o) | 961 | 0 | ||
WFS Financial Owner Trust: | ||||
Series 2005-1 Class C, 3.82% 8/17/12 | 2,294 | 2,285 | ||
Series 2005-3 Class C, 4.54% 5/17/13 | 850,000 | 779,401 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (e)(j) | 1,390,735 | 166,888 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $151,963,373) | 110,217,951 | |||
Collateralized Mortgage Obligations - 5.2% | ||||
| ||||
Private Sponsor - 2.5% | ||||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A Class 3C, 1.6275% 2/17/52 (e)(j) | 84,974 | 63,731 | ||
Series 2006-2A: | ||||
Class 2B, 1.3575% 2/17/52 (e)(j) | 299,030 | 279,100 | ||
Class 2M, 1.4375% 2/17/52 (e)(j) | 203,364 | 182,718 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (e)(j) | 190,861 | 81,019 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2035% 12/25/33 (j) | 8,570 | 6,960 | ||
Series 2004-A Class 2A2, 5.1951% 2/25/34 (j) | 1,229,916 | 1,002,594 | ||
Series 2004-B Class 1A1, 6.433% 3/25/34 (j) | 9,537 | 7,263 | ||
Series 2004-C Class 1A1, 5.971% 4/25/34 (j) | 16,909 | 13,326 | ||
Series 2004-J Class 2A1, 4.7597% 11/25/34 (j) | 618,612 | 481,434 | ||
Series 2005-H: | ||||
Class 1A1, 5.3329% 9/25/35 (j) | 164,844 | 118,727 | ||
Class 2A2, 4.8028% 9/25/35 (j) | 228,855 | 73,786 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 0.7538% 1/25/35 (j) | 639,165 | 315,683 | ||
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (j) | 645,756 | 358,310 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Bear Stearns Alt-A Trust floater: - continued | ||||
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (j) | $ 590,928 | $ 299,381 | ||
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (j) | 13,078 | 12,447 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (j) | 79,377 | 39,525 | ||
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (j) | 216,307 | 101,378 | ||
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (j) | 49,732 | 20,810 | ||
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (j) | 58,844 | 28,020 | ||
Series 2005-10: | ||||
Class 5A1, 0.7338% 1/25/36 (j) | 93,364 | 44,600 | ||
Class 5A2, 0.7938% 1/25/36 (j) | 42,012 | 16,844 | ||
Series 2005-2: | ||||
Class 6A2, 0.7538% 6/25/35 (j) | 14,649 | 6,497 | ||
Class 6M2, 0.9538% 6/25/35 (j) | 187,207 | 45,729 | ||
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (j) | 69,517 | 35,288 | ||
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (j) | 22,034 | 10,866 | ||
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (j) | 54,855 | 31,017 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (j) | 24,845 | 14,491 | ||
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (j) | 44,243 | 22,853 | ||
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (j) | 20,058 | 10,049 | ||
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (j) | 6,049 | 2,757 | ||
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (j) | 50,794 | 30,262 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (j) | 435,931 | 226,481 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (j) | 90,142 | 73,356 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (j) | 7,245 | 4,578 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 1.3025% 10/18/54 (e)(j) | 362,772 | 278,319 | ||
Class C2, 1.6125% 10/18/54 (e)(j) | 121,608 | 60,804 | ||
Class M2, 1.3925% 10/18/54 (e)(j) | 208,505 | 134,736 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (e)(j) | 311,213 | 145,504 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (e)(j) | 395,258 | 171,170 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A Class C2, 1.07% 12/20/54 (e)(j) | $ 762,826 | $ 53,398 | ||
Series 2006-2 Class C1, 0.94% 12/20/54 (j) | 3,254,342 | 325,434 | ||
Series 2006-3 Class C2, 0.97% 12/20/54 (j) | 142,646 | 8,787 | ||
Series 2006-4: | ||||
Class B1, 0.56% 12/20/54 (j) | 381,607 | 76,321 | ||
Class C1, 0.85% 12/20/54 (j) | 233,345 | 16,334 | ||
Class M1, 0.64% 12/20/54 (j) | 100,462 | 15,069 | ||
Series 2007-1: | ||||
Class 1C1, 0.77% 12/20/54 (j) | 235,742 | 23,574 | ||
Class 1M1, 0.62% 12/20/54 (j) | 153,360 | 23,004 | ||
Class 2C1, 0.9% 12/20/54 (j) | 107,590 | 10,759 | ||
Class 2M1, 0.72% 12/20/54 (j) | 196,906 | 31,505 | ||
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (j) | 272,830 | 27,283 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (j) | 54,631 | 13,658 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (j) | 635,947 | 437,346 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (j) | 54,045 | 24,223 | ||
Holmes Master Issuer PLC floater Series 2006-1A | 77,306 | 54,114 | ||
Home Equity Loan Trust floater Series 2007-FRE1 | 248,213 | 141,405 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (j) | 567,759 | 322,377 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (j) | 33,289 | 19,684 | ||
Series 2004-9: | ||||
Class M2, 1.4488% 1/25/35 (j) | 136,983 | 61,107 | ||
Class M3, 1.5238% 1/25/35 (j) | 101,544 | 41,981 | ||
Class M4, 2.0488% 1/25/35 (j) | 51,794 | 19,738 | ||
Series 2005-1: | ||||
Class M4, 1.2238% 4/25/35 (j) | 3,938 | 655 | ||
Class M5, 1.2438% 4/25/35 (j) | 3,938 | 482 | ||
Class M6, 1.2938% 4/25/35 (j) | 6,299 | 903 | ||
Series 2005-3 Class A1, 0.7138% 8/25/35 (j) | 78,827 | 40,016 | ||
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (j) | 24,609 | 842 | ||
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (j) | 21,338 | 1,687 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (e)(j) | 375,827 | 191,985 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (j) | $ 89,860 | $ 55,661 | ||
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (j) | 181,030 | 87,467 | ||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 187,563 | 136,311 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (j) | 227,862 | 95,702 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 0.625% 6/15/22 (e)(j) | 26,395 | 14,517 | ||
Class C, 0.645% 6/15/22 (e)(j) | 161,633 | 80,817 | ||
Class D, 0.655% 6/15/22 (e)(j) | 62,186 | 27,984 | ||
Class E, 0.665% 6/15/22 (e)(j) | 99,468 | 39,787 | ||
Class F, 0.695% 6/15/22 (e)(j) | 179,345 | 62,771 | ||
Class G, 0.765% 6/15/22 (e)(j) | 37,282 | 11,185 | ||
Class H, 0.785% 6/15/22 (e)(j) | 74,650 | 18,663 | ||
Class J, 0.825% 6/15/22 (e)(j) | 87,091 | 17,418 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A Class 2A1, 0.8638% 3/25/28 (j) | 407,950 | 237,286 | ||
Series 2003-B Class A1, 0.8138% 4/25/28 (j) | 30,030 | 17,520 | ||
Series 2003-D Class A, 0.7838% 8/25/28 (j) | 25,475 | 16,336 | ||
Series 2003-E Class A2, 2.0813% 10/25/28 (j) | 42,485 | 25,351 | ||
Series 2003-F Class A2, 3.805% 10/25/28 (j) | 440,967 | 264,170 | ||
Series 2004-A Class A2, 3.715% 4/25/29 (j) | 39,235 | 24,285 | ||
Series 2004-B Class A2, 2.8388% 6/25/29 (j) | 487,779 | 288,530 | ||
Series 2004-C Class A2, 2.15% 7/25/29 (j) | 412,534 | 244,858 | ||
Series 2004-D Class A2, 3.4625% 9/25/29 (j) | 398,410 | 235,859 | ||
Series 2004-E: | ||||
Class A2B, 3.825% 11/25/29 (j) | 69,670 | 44,495 | ||
Class A2D, 4.015% 11/25/29 (j) | 10,104 | 5,920 | ||
Series 2004-G Class A2, 3.48% 11/25/29 (j) | 33,682 | 20,318 | ||
Series 2005-A Class A2, 3.3525% 2/25/30 (j) | 32,557 | 19,590 | ||
Series 2005-B Class A2, 2.7988% 7/25/30 (j) | 99,478 | 62,003 | ||
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (j) | 206,820 | 972 | ||
MortgageIT Trust floater: | ||||
Series 2004-2: | ||||
Class A1, 0.8438% 12/25/34 (j) | 508,130 | 331,036 | ||
Class A2, 0.9238% 12/25/34 (j) | 686,948 | 477,477 | ||
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (j) | 40,922 | 27,051 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (j) | 413,322 | 202,231 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (j) | $ 310,176 | $ 14,609 | ||
Permanent Financing No. 4 PLC Class 3C, 2.9894% 6/10/42 (j) | 1,215,000 | 1,211,282 | ||
Permanent Financing No. 5 PLC floater Series 3 Class C, 2.9894% 6/10/42 (j) | 1,935,000 | 1,451,250 | ||
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (j) | 260,453 | 176,393 | ||
Permanent Master Issuer PLC floater Series 2006-1 | 66,269 | 49,039 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (j) | 881,632 | 702,891 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B Class B5, 2.7988% 7/10/35 (e)(j) | 173,107 | 84,216 | ||
Series 2003-CB1 Class B3, 1.8988% 6/10/35 (e)(j) | 133,474 | 71,409 | ||
Series 2004-A: | ||||
Class B4, 1.6488% 2/10/36 (e)(j) | 101,746 | 35,245 | ||
Class B5, 2.1488% 2/10/36 (e)(j) | 67,823 | 21,751 | ||
Series 2004-B: | ||||
Class B4, 1.5488% 2/10/36 (e)(j) | 44,131 | 12,158 | ||
Class B5, 1.9988% 2/10/36 (e)(j) | 34,176 | 8,479 | ||
Class B6, 2.4488% 2/10/36 (e)(j) | 11,922 | 2,452 | ||
Series 2004-C: | ||||
Class B4, 1.3988% 9/10/36 (e)(j) | 56,734 | 16,640 | ||
Class B5, 1.7988% 9/10/36 (e)(j) | 63,618 | 17,069 | ||
Class B6, 2.1988% 9/10/36 (e)(j) | 14,088 | 3,087 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (j) | 219,268 | 169,038 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 416,873 | 368,272 | ||
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (j) | 371,037 | 272,129 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (e)(j) | 34,805 | 26,109 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (e)(j) | 7,880 | 7,679 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (e) | 236,970 | 180,208 | ||
SBA CMBS Trust Series 2005-1A: | ||||
Class D, 6.219% 11/15/35 (e) | 1,370,000 | 1,191,900 | ||
Class E, 6.706% 11/15/35 (e) | 365,000 | 308,425 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 3.7963% 9/20/33 (j) | $ 197,380 | $ 120,307 | ||
Series 2004-1 Class A, 1.8888% 2/20/34 (j) | 20,363 | 13,041 | ||
Series 2004-10 Class A4, 4.5188% 11/20/34 (j) | 29,480 | 18,236 | ||
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (j) | 88,915 | 54,655 | ||
Series 2004-3 Class A, 3.885% 5/20/34 (j) | 343,503 | 209,819 | ||
Series 2004-4 Class A, 4.4388% 5/20/34 (j) | 381,442 | 237,368 | ||
Series 2004-5 Class A3, 2.9113% 6/20/34 (j) | 357,105 | 218,391 | ||
Series 2004-6: | ||||
Class A3A, 2.1613% 6/20/35 (j) | 250,422 | 160,609 | ||
Class A3B, 2.3038% 7/20/34 (j) | 6,131 | 3,768 | ||
Series 2004-7: | ||||
Class A3A, 1.9138% 8/20/34 (j) | 299,672 | 179,514 | ||
Class A3B, 2.1388% 7/20/34 (j) | 3,987 | 2,338 | ||
Series 2004-8 Class A2, 2.15% 9/20/34 (j) | 473,511 | 306,703 | ||
Series 2005-1 Class A2, 1.8388% 2/20/35 (j) | 384,730 | 238,313 | ||
Series 2005-2 Class A2, 2.03% 3/20/35 (j) | 67,309 | 40,470 | ||
Series 2005-3 Class A1, 0.67% 5/20/35 (j) | 32,692 | 17,561 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (j) | 66,744 | 874 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 0.6738% 6/25/35 (j) | 194,396 | 132,164 | ||
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (e)(j) | 153,393 | 65,012 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (j) | 415,454 | 211,807 | ||
Wachovia Bank Commercial Mortgage Trust Series 2004-C14 Class PP, 5.3117% 8/15/41 (e)(j) | 1,510,922 | 945,323 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater: | ||||
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (j) | 19,239 | 18,413 | ||
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (j) | 7,798 | 7,537 | ||
sequential payer Series 2004-RA2 Class 2A, 7% 7/25/33 | 157,101 | 140,816 | ||
Series 2003-AR10 Class A7, 4.669% 10/25/33 (j) | 831,968 | 522,359 | ||
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (j) | 335,000 | 331,734 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-EE Class 2A2, 4.1875% 12/25/34 (j) | 978,050 | 779,146 | ||
Series 2004-V Class 1A2, 4.0139% 10/25/34 (j) | 637,825 | 509,623 | ||
Series 2005-AR12 Class 2A6, 4.313% 7/25/35 (j) | 154,498 | 118,038 | ||
Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 3,296,755 | 2,536,456 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (j) | $ 268,646 | $ 206,772 | ||
Series 2005-AR4 Class 2A2, 4.5395% 4/25/35 (j) | 5,557,204 | 4,435,241 | ||
TOTAL PRIVATE SPONSOR | 29,213,793 | |||
U.S. Government Agency - 2.7% | ||||
Fannie Mae planned amortization class: | ||||
Series 1993-187 Class L, 6.5% 7/25/23 | 581,436 | 596,029 | ||
Series 2006-64 Class PA, 5.5% 2/25/30 | 3,508,997 | 3,611,571 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2006-49 Class CA, 6% 2/25/31 | 4,523,005 | 4,657,798 | ||
Series 2006-54 Class PE, 6% 2/25/33 | 1,564,928 | 1,620,160 | ||
sequential payer: | ||||
Series 2001-40 Class Z, 6% 8/25/31 | 1,005,419 | 1,045,501 | ||
Series 2003-76 Class BA, 4.5% 3/25/18 | 2,444,298 | 2,503,236 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 99,484 | 101,088 | ||
Freddie Mac sequential payer Series 2114 Class ZM, 6% 1/15/29 | 449,179 | 468,241 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2535 Class PC, 6% 9/15/32 | 1,452,303 | 1,502,075 | ||
Series 2690 Class PD, 5% 2/15/27 | 2,520,246 | 2,583,452 | ||
Series 2755 Class LC, 4% 6/15/27 | 2,225,000 | 2,264,338 | ||
Series 2901 Class UM, 4.5% 1/15/30 | 3,330,396 | 3,392,800 | ||
sequential payer: | ||||
Series 2609 Class UJ, 6% 2/15/17 | 892,859 | 937,398 | ||
Series 2635 Class DG, 4.5% 1/15/18 | 2,800,884 | 2,871,925 | ||
Series 2780 Class A, 4% 12/15/14 | 2,349,898 | 2,367,086 | ||
Series 2786 Class GA, 4% 8/15/17 | 1,167,282 | 1,187,723 | ||
Series 2970 Class YA, 5% 9/15/18 | 914,961 | 942,792 | ||
Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 | 41,603 | 41,690 | ||
TOTAL U.S. GOVERNMENT AGENCY | 32,694,903 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $71,889,069) | 61,908,696 | |||
Commercial Mortgage Securities - 4.6% | ||||
| Principal Amount | Value | ||
280 Park Avenue Trust floater Series 2001-280 | $ 14,540,912 | $ 277,268 | ||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5863% 2/14/43 (j)(l) | 3,999,036 | 141,666 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-5 Class A1, 5.185% 7/10/11 | 546,001 | 532,039 | ||
Series 2007-3 Class A1, 5.6583% 6/10/49 (j) | 1,320,655 | 1,052,319 | ||
Series 2006-6 Class XP, 0.4316% 10/10/45 (j)(l) | 32,421,228 | 469,748 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
Series 2002-2 Class XP, 1.794% 7/11/43 (e)(j)(l) | 5,286,301 | 81,640 | ||
Series 2004-6 Class XP, 0.4529% 12/10/42 (j)(l) | 10,395,529 | 111,952 | ||
Series 2005-4 Class XP, 0.1697% 7/10/45 (j)(l) | 15,414,356 | 86,821 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 0.9313% 3/15/22 (e)(j) | 78,149 | 35,167 | ||
Class G, 0.9913% 3/15/22 (e)(j) | 50,652 | 19,248 | ||
Series 2006-BIX1: | ||||
Class F, 0.765% 10/15/19 (e)(j) | 201,139 | 90,513 | ||
Class G, 0.785% 10/15/19 (e)(j) | 137,009 | 47,953 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.3238% 12/25/33 (e)(j) | 13,378 | 7,692 | ||
Series 2004-1: | ||||
Class A, 0.8338% 4/25/34 (e)(j) | 629,225 | 471,919 | ||
Class B, 2.3738% 4/25/34 (e)(j) | 76,229 | 28,586 | ||
Class M1, 1.0338% 4/25/34 (e)(j) | 44,138 | 27,586 | ||
Class M2, 1.6738% 4/25/34 (e)(j) | 42,573 | 22,351 | ||
Series 2004-2: | ||||
Class A, 0.9038% 8/25/34 (e)(j) | 517,588 | 414,071 | ||
Class M1, 1.0538% 8/25/34 (e)(j) | 184,465 | 115,291 | ||
Series 2004-3: | ||||
Class A1, 0.8438% 1/25/35 (e)(j) | 852,376 | 617,972 | ||
Class A2, 0.8938% 1/25/35 (e)(j) | 129,922 | 90,945 | ||
Class M1, 0.9738% 1/25/35 (e)(j) | 45,997 | 29,898 | ||
Class M2, 1.4738% 1/25/35 (e)(j) | 29,764 | 16,370 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-2A: | ||||
Class A1, 0.7838% 8/25/35 (e)(j) | $ 194,650 | $ 136,255 | ||
Class M1, 0.9038% 8/25/35 (e)(j) | 14,442 | 5,777 | ||
Class M2, 0.9538% 8/25/35 (e)(j) | 23,821 | 9,528 | ||
Class M3, 0.9738% 8/25/35 (e)(j) | 13,179 | 4,613 | ||
Class M4, 1.0838% 8/25/35 (e)(j) | 12,098 | 3,629 | ||
Series 2005-3A: | ||||
Class A1, 0.7938% 11/25/35 (e)(j) | 106,095 | 68,962 | ||
Class A2, 0.8738% 11/25/35 (e)(j) | 68,783 | 44,709 | ||
Class M1, 0.9138% 11/25/35 (e)(j) | 12,548 | 4,768 | ||
Class M2, 0.9638% 11/25/35 (e)(j) | 15,932 | 6,054 | ||
Class M3, 0.9838% 11/25/35 (e)(j) | 14,258 | 4,990 | ||
Class M4, 1.0738% 11/25/35 (e)(j) | 17,764 | 6,218 | ||
Series 2005-4A: | ||||
Class A2, 0.8638% 1/25/36 (e)(j) | 1,246,111 | 716,514 | ||
Class B1, 1.8738% 1/25/36 (e)(j) | 83,848 | 29,347 | ||
Class M1, 0.9238% 1/25/36 (e)(j) | 391,924 | 225,356 | ||
Class M2, 0.9438% 1/25/36 (e)(j) | 148,723 | 81,798 | ||
Class M3, 0.9738% 1/25/36 (e)(j) | 159,837 | 79,919 | ||
Class M4, 1.0838% 1/25/36 (e)(j) | 81,789 | 38,850 | ||
Class M5, 1.1238% 1/25/36 (e)(j) | 81,789 | 36,805 | ||
Class M6, 1.1738% 1/25/36 (e)(j) | 83,000 | 34,860 | ||
Series 2006-1: | ||||
Class A2, 0.8338% 4/25/36 (e)(j) | 38,804 | 25,533 | ||
Class M1, 0.8538% 4/25/36 (e)(j) | 13,879 | 6,939 | ||
Class M2, 0.8738% 4/25/36 (e)(j) | 14,664 | 6,599 | ||
Class M3, 0.8938% 4/25/36 (e)(j) | 12,617 | 5,299 | ||
Class M4, 0.9938% 4/25/36 (e)(j) | 7,150 | 3,879 | ||
Class M5, 1.0338% 4/25/36 (e)(j) | 6,939 | 2,637 | ||
Class M6, 1.1138% 4/25/36 (e)(j) | 13,836 | 7,167 | ||
Series 2006-2A: | ||||
Class A1, 0.7038% 7/25/36 (e)(j) | 380,800 | 304,640 | ||
Class A2, 0.7538% 7/25/36 (e)(j) | 34,379 | 27,503 | ||
Class B1, 1.3438% 7/25/36 (e)(j) | 12,872 | 2,574 | ||
Class B3, 3.1738% 7/25/36 (e)(j) | 19,447 | 3,889 | ||
Class M1, 0.7838% 7/25/36 (e)(j) | 36,070 | 18,035 | ||
Class M2, 0.8038% 7/25/36 (e)(j) | 25,449 | 12,216 | ||
Class M3, 0.8238% 7/25/36 (e)(j) | 21,110 | 9,499 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-2A: | ||||
Class M4, 0.8938% 7/25/36 (e)(j) | $ 14,254 | $ 5,702 | ||
Class M5, 0.9438% 7/25/36 (e)(j) | 17,521 | 6,132 | ||
Class M6, 1.0138% 7/25/36 (e)(j) | 26,141 | 9,149 | ||
Series 2006-3A: | ||||
Class B1, 1.2738% 10/25/36 (e)(j) | 22,294 | 6,889 | ||
Class B2, 1.8238% 10/25/36 (e)(j) | 16,080 | 4,726 | ||
Class B3, 3.0738% 10/25/36 (e)(j) | 26,167 | 5,809 | ||
Class M4, 0.9038% 10/25/36 (e)(j) | 24,639 | 10,730 | ||
Class M5, 0.9538% 10/25/36 (e)(j) | 29,497 | 11,799 | ||
Class M6, 1.0338% 10/25/36 (e)(j) | 57,737 | 21,651 | ||
Series 2006-4A: | ||||
Class A1, 0.7038% 12/25/36 (e)(j) | 106,293 | 72,301 | ||
Class A2, 0.7438% 12/25/36 (e)(j) | 479,050 | 332,365 | ||
Class B1, 1.1738% 12/25/36 (e)(j) | 16,723 | 3,345 | ||
Class B2, 1.7238% 12/25/36 (e)(j) | 17,305 | 7,971 | ||
Class B3, 2.9238% 12/25/36 (e)(j) | 29,078 | 12,797 | ||
Class M1, 0.7638% 12/25/36 (e)(j) | 34,610 | 22,220 | ||
Class M2, 0.7838% 12/25/36 (e)(j) | 23,278 | 14,665 | ||
Class M3, 0.8138% 12/25/36 (e)(j) | 23,578 | 9,903 | ||
Class M4, 0.8738% 12/25/36 (e)(j) | 28,254 | 11,302 | ||
Class M5, 0.9138% 12/25/36 (e)(j) | 25,907 | 10,363 | ||
Class M6, 0.9938% 12/25/36 (e)(j) | 23,278 | 12,938 | ||
Series 2007-1: | ||||
Class A2, 0.7438% 3/25/37 (e)(j) | 518,227 | 297,980 | ||
Class B1, 1.1438% 3/25/37 (e)(j) | 165,463 | 57,912 | ||
Class B2, 1.6238% 3/25/37 (e)(j) | 121,310 | 38,516 | ||
Class B3, 3.8238% 3/25/37 (e)(j) | 337,458 | 98,707 | ||
Class M1, 0.7438% 3/25/37 (e)(j) | 141,705 | 76,875 | ||
Class M2, 0.7638% 3/25/37 (e)(j) | 107,283 | 55,519 | ||
Class M3, 0.7938% 3/25/37 (e)(j) | 93,171 | 46,585 | ||
Class M4, 0.8438% 3/25/37 (e)(j) | 70,278 | 33,734 | ||
Class M5, 0.8938% 3/25/37 (e)(j) | 117,482 | 52,867 | ||
Class M6, 0.9738% 3/25/37 (e)(j) | 162,014 | 64,806 | ||
Series 2007-2A: | ||||
Class A1, 0.7438% 7/25/37 (e)(j) | 79,839 | 48,303 | ||
Class A2, 0.7938% 7/25/37 (e)(j) | 74,777 | 46,175 | ||
Class B1, 2.0738% 7/25/37 (e)(j) | 23,430 | 7,439 | ||
Class B2, 2.7238% 7/25/37 (e)(j) | 20,305 | 6,294 | ||
Class B3, 3.8238% 7/25/37 (e)(j) | 22,836 | 6,851 | ||
Class M1, 0.8438% 7/25/37 (e)(j) | 26,651 | 14,458 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-2A: | ||||
Class M2, 0.8838% 7/25/37 (e)(j) | $ 14,955 | $ 7,739 | ||
Class M3, 0.9638% 7/25/37 (e)(j) | 15,147 | 7,460 | ||
Class M4, 1.1238% 7/25/37 (e)(j) | 29,164 | 12,176 | ||
Class M5, 1.2238% 7/25/37 (e)(j) | 25,789 | 10,122 | ||
Class M6, 1.4738% 7/25/37 (e)(j) | 32,729 | 12,028 | ||
Series 2007-3: | ||||
Class A2, 0.7638% 7/25/37 (e)(j) | 132,484 | 98,409 | ||
Class B1, 1.4238% 7/25/37 (e)(j) | 114,067 | 54,307 | ||
Class B2, 2.0738% 7/25/37 (e)(j) | 293,048 | 139,549 | ||
Class B3, 4.4738% 7/25/37 (e)(j) | 153,226 | 70,300 | ||
Class M1, 0.7838% 7/25/37 (e)(j) | 100,090 | 58,102 | ||
Class M2, 0.8138% 7/25/37 (e)(j) | 105,230 | 59,055 | ||
Class M3, 0.8438% 7/25/37 (e)(j) | 170,335 | 89,886 | ||
Class M4, 0.9738% 7/25/37 (e)(j) | 269,358 | 140,955 | ||
Class M5, 1.0738% 7/25/37 (e)(j) | 134,275 | 68,950 | ||
Class M6, 1.2738% 7/25/37 (e)(j) | 104,864 | 53,229 | ||
Series 2007-4A: | ||||
Class A2, 1.0238% 9/25/37 (e)(j) | 972,463 | 680,724 | ||
Class B1, 3.0238% 9/25/37 (e)(j) | 161,033 | 51,128 | ||
Class B2, 3.9238% 9/25/37 (e)(j) | 603,810 | 176,614 | ||
Class M1, 1.4238% 9/25/37 (e)(j) | 150,688 | 75,344 | ||
Class M2, 1.5238% 9/25/37 (e)(j) | 150,688 | 67,810 | ||
Class M4, 2.0738% 9/25/37 (e)(j) | 397,109 | 158,844 | ||
Class M5, 2.2238% 9/25/37 (e)(j) | 397,109 | 148,916 | ||
Class M6, 2.4238% 9/25/37 (e)(j) | 397,207 | 139,023 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (e)(l) | 4,989,665 | 54,886 | ||
Series 2006-2A Class IO, 1.7976% 7/25/36 (c)(e)(l) | 13,438,796 | 806,328 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.9013% 3/15/19 (e)(j) | 102,211 | 58,332 | ||
Class H, 1.1113% 3/15/19 (e)(j) | 68,774 | 30,948 | ||
Class J, 1.3113% 3/15/19 (e)(j) | 51,667 | 20,667 | ||
Series 2007-BBA8: | ||||
Class D, 0.705% 3/15/22 (e)(j) | 52,963 | 32,896 | ||
Class E, 0.755% 3/15/22 (e)(j) | 275,033 | 161,276 | ||
Class F, 0.805% 3/15/22 (e)(j) | 168,653 | 94,474 | ||
Class G, 0.855% 3/15/22 (e)(j) | 43,346 | 23,557 | ||
Class H, 1.005% 3/15/22 (e)(j) | 52,963 | 23,833 | ||
Class J, 1.155% 3/15/22 (e)(j) | 52,963 | 21,185 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: - continued | ||||
sequential payer: | ||||
Series 2004-ESA Class A3, 4.741% 5/14/16 (e) | $ 625,000 | $ 627,572 | ||
Series 2007-PW17 Class A1, 5.282% 6/11/50 | 1,592,725 | 1,523,622 | ||
Series 2002-TOP8 Class X2, 2.0827% 8/15/38 (e)(j)(l) | 5,909,417 | 180,069 | ||
Series 2003-PWR2 Class X2, 0.4666% 5/11/39 (e)(j)(l) | 15,824,019 | 165,584 | ||
Series 2004-PWR6 Class X2, 0.6189% 11/11/41 (e)(j)(l) | 6,225,449 | 117,309 | ||
Series 2005-PWR9 Class X2, 0.3886% 9/11/42 (e)(j)(l) | 42,430,192 | 500,031 | ||
Series 2007-T28 Class A1, 5.422% 9/11/42 | 703,912 | 674,600 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (e)(j) | 138,929 | 60,326 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 | 36,834,967 | 1,454,429 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class G, 0.785% 11/15/36 (e)(j) | 56,376 | 17,477 | ||
Class H, 0.825% 11/15/36 (e)(j) | 45,122 | 13,537 | ||
sequential payer Series 2005-EMG Class A2, 4.2211% 9/20/51 (e) | 564,818 | 546,210 | ||
Series 2004-C2 Class XP, 0.8937% 10/15/41 (e)(j)(l) | 8,219,154 | 157,957 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.4227% 10/15/48 (j)(l) | 60,171,351 | 948,276 | ||
Cobalt CMBS Commercial Mortgage Trust sequential payer Series 2007-C2 Class A1, 5.064% 9/15/11 (j) | 685,440 | 660,494 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class D, 0.765% 4/15/17 (e)(j) | 120,571 | 57,042 | ||
Class E, 0.825% 4/15/17 (e)(j) | 38,383 | 17,967 | ||
Class F, 0.865% 4/15/17 (e)(j) | 21,773 | 9,645 | ||
Class G, 1.005% 4/15/17 (e)(j) | 21,773 | 9,432 | ||
Class H, 1.075% 4/15/17 (e)(j) | 21,773 | 8,891 | ||
Class J, 1.305% 4/15/17 (e)(j) | 16,697 | 7,538 | ||
Series 2005-FL11: | ||||
Class F, 0.9113% 11/15/17 (e)(j) | 49,344 | 16,488 | ||
Class G, 0.9613% 11/15/17 (e)(j) | 34,203 | 10,662 | ||
Series 2004-LBN2 Class X2, 0.8624% 3/10/39 (e)(j)(l) | 2,207,447 | 32,775 | ||
Series 2005-LP5 Class XP, 0.3666% 5/10/43 (j)(l) | 15,117,739 | 99,682 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32 | $ 201,378 | $ 200,969 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6637% 12/15/39 (j)(l) | 45,122,289 | 1,065,545 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2001-CK6 Class AX, 0.645% 9/15/18 (l) | 16,805,025 | 339,845 | ||
Series 2003-C3 Class ASP, 1.6988% 5/15/38 (e)(j)(l) | 16,672,414 | 303,581 | ||
Series 2004-C1 Class ASP, 0.9364% 1/15/37 (e)(j)(l) | 11,393,170 | 189,000 | ||
Series 2005-C1 Class ASP, 0.3423% 2/15/38 (e)(j)(l) | 17,184,486 | 129,793 | ||
Series 2005-C2 Class ASP, 0.5505% 4/15/37 (e)(j)(l) | 13,881,778 | 187,269 | ||
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1: | ||||
Class C: | ||||
0.6313% 2/15/22 (e)(j) | 236,650 | 70,995 | ||
0.7313% 2/15/22 (e)(j) | 84,521 | 21,130 | ||
Class F, 0.7813% 2/15/22 (e)(j) | 169,020 | 37,184 | ||
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 1,594,951 | 1,599,294 | ||
First Union National Bank-Bank of America Commercial Mortgage Trust Series 2001-C1 Class D, 6.484% 3/15/33 | 1,360,000 | 1,095,521 | ||
GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 1.0537% 5/15/33 (e)(j)(l) | 10,434,363 | 195,796 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
sequential payer Series 2003-C2 Class A1, 4.576% 5/10/40 | 1,851,832 | 1,673,323 | ||
Series 2004-C3 Class X2, 0.6604% 12/10/41 (j)(l) | 9,798,591 | 116,415 | ||
Series 2006-C1 Class XP, 0.1363% 11/10/45 (j)(l) | 20,466,988 | 111,183 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
Series 2003-C2 Class XP, 0.9758% 1/5/36 (e)(j)(l) | 15,615,079 | 215,241 | ||
Series 2005-GG3 Class XP, 0.7646% 8/10/42 (e)(j)(l) | 38,512,299 | 660,278 | ||
Series 2007-GG11 Class A1, 0.4798% 12/10/49 (e)(l) | 97,158,551 | 1,369,936 | ||
GS Mortgage Securities Corp. II floater: | ||||
Series 2006-FL8A Class F, 0.885% 6/6/20 (e)(j) | 105,970 | 60,403 | ||
Series 2007-EOP: | ||||
Class C, 0.765% 3/6/20 (e)(j) | 720,000 | 460,800 | ||
Class D, 0.815% 3/6/20 (e)(j) | 215,000 | 137,600 | ||
Class E, 0.885% 3/6/20 (e)(j) | 360,000 | 226,800 | ||
Class F, 0.925% 3/6/20 (e)(j) | 180,000 | 109,800 | ||
Class G, 0.965% 3/6/20 (e)(j) | 90,000 | 54,000 | ||
Class H, 1.095% 3/6/20 (e)(j) | 150,000 | 90,000 | ||
Class J, 1.295% 3/6/20 (e)(j) | 215,000 | 122,550 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Hilton Hotel Pool Trust: | ||||
sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (e) | $ 266,578 | $ 276,411 | ||
Series 2000-HLTA Class D, 7.555% 10/3/15 (e) | 1,275,000 | 1,362,830 | ||
Host Marriott Pool Trust sequential payer Series 1999-HMTA: | ||||
Class A, 6.98% 8/3/15 (e) | 69,603 | 70,305 | ||
Class B, 7.3% 8/3/15 (e) | 505,000 | 514,383 | ||
Class D, 7.97% 8/3/15 (e) | 425,000 | 435,023 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
sequential payer Series 2001-C1 Class A2, 5.464% 10/12/35 | 511,775 | 505,148 | ||
Series 2002-C3 Class X2, 1.1342% 7/12/35 (e)(j)(l) | 4,475,450 | 37,290 | ||
Series 2003-CB7 Class X2, 0.7683% 1/12/38 (e)(j)(l) | 3,130,372 | 37,423 | ||
Series 2003-LN1 Class X2, 0.6341% 10/15/37 (e)(j)(l) | 19,040,052 | 185,774 | ||
Series 2004-C1 Class X2, 0.9723% 1/15/38 (e)(j)(l) | 2,944,185 | 47,355 | ||
Series 2004-CB8 Class X2, 1.1064% 1/12/39 (e)(j)(l) | 4,040,551 | 67,153 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FLA2: | ||||
Class D, 0.6913% 11/15/18 (e)(j) | 29,296 | 13,769 | ||
Class E, 0.7413% 11/15/18 (e)(j) | 41,514 | 18,681 | ||
Class F, 0.7913% 11/15/18 (e)(j) | 62,265 | 27,397 | ||
Class G, 0.8213% 11/15/18 (e)(j) | 54,115 | 22,728 | ||
Class H, 0.9613% 11/15/18 (e)(j) | 41,514 | 16,606 | ||
sequential payer: | ||||
Series 2006-LDP9 Class A1, 5.17% 5/15/47 (j) | 961,639 | 935,801 | ||
Series 2008-C2 Class A1, 5.017% 2/12/51 | 513,979 | 487,349 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 1999-C1 Class A2, 6.78% 6/15/31 | 1,167,749 | 1,164,612 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C6 Class A1, 5.23% 9/15/39 | 663,679 | 648,634 | ||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 307,493 | 299,971 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (j) | 403,501 | 394,528 | ||
Series 2007-C2 Class A1, 5.226% 2/15/40 | 385,495 | 376,136 | ||
Series 2002-C4 Class XCP, 1.3959% 10/15/35 (e)(j)(l) | 9,386,557 | 74,735 | ||
Series 2002-C7 Class XCP, 0.9632% 1/15/36 (e)(j)(l) | 6,724,444 | 54,434 | ||
Series 2003-C1 Class XCP, 1.2936% 12/15/36 (e)(j)(l) | 4,200,213 | 52,154 | ||
Series 2004-C2 Class XCP, 0.8376% 3/15/36 (e)(j)(l) | 6,373,742 | 124,747 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2004-C6 Class XCP, 0.6492% 8/15/36 (e)(j)(l) | $ 9,461,807 | $ 117,874 | ||
Series 2005-C7 Class XCP, 0.1676% 11/15/40 (j)(l) | 73,994,079 | 436,728 | ||
Series 2006-C1 Class XCP, 0.308% 2/15/41 (j)(l) | 55,680,894 | 603,046 | ||
Series 2006-C6 Class XCP, 0.6633% 9/15/39 (j)(l) | 26,139,968 | 564,521 | ||
Series 2007-C1 Class XCP, 0.4751% 2/15/40 (j)(l) | 10,274,564 | 163,650 | ||
Series 2007-C2 Class XCP, 0.5002% 2/15/40 (j)(l) | 49,695,301 | 896,926 | ||
LB-UBS Westfield Trust: | ||||
Series 2001-WM Class X, 0.5408% 7/14/16 (e)(j)(l) | 11,812,293 | 126,898 | ||
Series 2001-WM, 6.754% 7/14/16 (e) | 1,085,000 | 978,870 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 0.795% 9/15/21 (e)(j) | 145,070 | 59,632 | ||
Class G, 0.815% 9/15/21 (e)(j) | 286,588 | 104,858 | ||
Class H, 0.855% 9/15/21 (e)(j) | 73,934 | 25,570 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 2002-MW1 Class XP, 1.5454% 7/12/34 (e)(j)(l) | 3,931,968 | 22,221 | ||
Series 2005-MCP1 Class XP, 0.5561% 6/12/43 (j)(l) | 13,041,162 | 226,890 | ||
Series 2005-MKB2 Class XP, 0.2538% 9/12/42 (j)(l) | 6,482,678 | 40,998 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-6 Class A1, 5.175% 3/12/51 | 427,922 | 416,976 | ||
Series 2007-8 Class A1, 4.622% 8/12/49 | 689,274 | 657,256 | ||
Series 2006-4 Class XP, 0.6219% 12/12/49 (j)(l) | 20,761,780 | 474,600 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.662% 7/15/19 (e)(j) | 104,414 | 10,441 | ||
Series 2007-XCLA Class A1, 0.662% 7/17/17 (e)(j) | 347,799 | 191,289 | ||
Series 2007-XLCA Class B, 0.9613% 7/17/17 (e)(j) | 197,974 | 17,818 | ||
Series 2007-XLFA: | ||||
Class D, 0.652% 10/15/20 (e)(j) | 84,694 | 21,174 | ||
Class E, 0.712% 10/15/20 (e)(j) | 105,926 | 21,185 | ||
Class F, 0.762% 10/15/20 (e)(j) | 63,569 | 11,442 | ||
Class G, 0.802% 10/15/20 (e)(j) | 78,581 | 11,787 | ||
Class H, 0.892% 10/15/20 (e)(j) | 49,464 | 4,946 | ||
Class J, 1.042% 10/15/20 (e)(j) | 56,462 | 4,517 | ||
Class MHRO, 1.152% 10/15/20 (e)(j) | 22,950 | 2,525 | ||
Class MJPM, 1.462% 10/15/20 (e)(j) | 7,766 | 699 | ||
Class MSTR, 1.162% 10/15/20 (e)(j) | 14,148 | 1,981 | ||
Class NHRO, 1.352% 10/15/20 (e)(j) | 33,519 | 3,017 | ||
Class NSTR, 1.312% 10/15/20 (e)(j) | 13,176 | 1,449 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
sequential payer: | ||||
Series 2003-IQ5 Class X2, 0.9046% 4/15/38 (e)(j)(l) | $ 6,047,521 | $ 108,231 | ||
Series 2006-HQ8 Class A1, 5.124% 3/12/44 | 191,719 | 189,813 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 496,908 | 480,903 | ||
Series 2007-HQ11 Class A1, 5.246% 2/20/44 | 695,735 | 675,564 | ||
Series 2003-IQ6 Class X2, 0.5824% 12/15/41 (e)(j)(l) | 12,134,174 | 173,292 | ||
Series 2005-HQ5 Class X2, 0.2375% 1/14/42 (j)(l) | 14,114,670 | 90,004 | ||
Series 2005-IQ9 Class X2, 1.0444% 7/15/56 (e)(j)(l) | 12,908,616 | 311,271 | ||
Series 2005-TOP17 Class X2, 0.5794% 12/13/41 (j)(l) | 9,130,627 | 162,900 | ||
Series 2007-XLC1: | ||||
Class C, 1.0613% 7/17/17 (e)(j) | 270,216 | 21,617 | ||
Class D, 1.1613% 7/17/17 (e)(j) | 127,146 | 8,900 | ||
Class E, 1.2613% 7/17/17 (e)(j) | 103,321 | 6,199 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2003-HQ2 Class X2, 1.327% 3/12/35 (e)(j)(l) | 9,955,515 | 231,079 | ||
Series 2003-TOP9 Class X2, 1.4362% 11/13/36 (e)(j)(l) | 5,194,394 | 130,787 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (e)(j) | 274,263 | 224,896 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.655% 1/15/18 (e)(j) | 161,978 | 89,088 | ||
Series 2006-WL7A: | ||||
Class E, 0.735% 9/15/21 (e)(j) | 176,861 | 72,513 | ||
Class F, 0.795% 8/11/18 (e)(j) | 238,334 | 71,500 | ||
Class G, 0.815% 8/11/18 (e)(j) | 225,785 | 56,446 | ||
Class J, 0.9331% 8/11/18 (e)(j) | 50,198 | 18,071 | ||
Class X1A, 0.0239% 9/15/21 (e)(j)(l) | 359,324 | 3 | ||
Series 2007-WHL8: | ||||
Class AP1, 1.155% 6/15/20 (e)(j) | 11,855 | 2,964 | ||
Class AP2, 1.255% 6/15/20 (e)(j) | 19,414 | 3,883 | ||
Class F, 0.935% 6/15/20 (e)(j) | 376,985 | 120,635 | ||
Class LXR2, 1.255% 6/15/20 (e)(j) | 257,008 | 38,551 | ||
sequential payer: | ||||
Series 2003-C7 Class A1, 4.241% 10/15/35 (e) | 2,650,553 | 2,506,054 | ||
Series 2007-C30 Class A1, 5.031% 12/15/43 | 665,108 | 646,879 | ||
Series 2007-C31 Class A1, 5.14% 4/15/47 | 452,777 | 440,310 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | ||||
Series 2005-C18 Class XP, 0.3252% 4/15/42 (e)(j)(l) | $ 19,778,807 | $ 174,724 | ||
Series 2005-C20 Class A3SF, 0.4588% 7/15/42 (j) | 1,332,935 | 1,189,479 | ||
Series 2006-C23 Class X, 0.0807% 1/15/45 (e)(j)(l) | 259,571,789 | 1,127,684 | ||
Series 2006-C24 Class XP, 0.0768% 3/15/45 (e)(j)(l) | 44,853,665 | 189,372 | ||
Series 2007-C30 Class XP, 0.4336% 12/15/43 (e)(j)(l) | 50,509,717 | 827,536 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $64,925,031) | 55,645,381 | |||
Commercial Paper - 1.0% | ||||
| ||||
Bank of Nova Scotia yankee 0.76% 5/12/09 | 2,000,000 | 1,995,901 | ||
HVB U.S. Finance, Inc. yankee 1.4% 3/9/09 | 1,480,000 | 1,479,855 | ||
Lloyds TSB Bank PLC yankee 1.15% 5/11/09 | 4,000,000 | 3,991,986 | ||
Rabobank USA Financial Corp. yankee 0.9% 8/10/09 | 4,000,000 | 3,988,283 | ||
TOTAL COMMERCIAL PAPER (Cost $11,450,900) | 11,456,025 |
Fixed-Income Funds - 0.3% | |||
Shares |
| ||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (k) | 47,909 | 3,398,205 | |
Cash Equivalents - 9.2% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at: | |||
0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # | $ 8,168,176 | 8,168,000 | |
0.28%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Government Obligations) # (a) | 101,752,374 | 101,750,000 | |
TOTAL CASH EQUIVALENTS (Cost $109,918,000) | 109,918,000 | ||
TOTAL INVESTMENT PORTFOLIO - 110.3% (Cost $1,384,047,682) | 1,319,914,416 | ||
NET OTHER ASSETS - (10.3)% | (123,079,751) | ||
NET ASSETS - 100% | $ 1,196,834,665 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
95 Eurodollar 90 Day Index Contracts | March 2009 | $ 94,694,219 | $ 504,389 | ||
92 Eurodollar 90 Day Index Contracts | June 2009 | 91,699,850 | 220,158 | ||
92 Eurodollar 90 Day Index Contracts | Sept. 2009 | 91,683,750 | 227,758 | ||
49 Eurodollar 90 Day Index Contracts | Dec. 2009 | 48,810,738 | (12,232) | ||
49 Eurodollar 90 Day Index Contracts | March 2010 | 48,795,425 | (11,170) | ||
TOTAL EURODOLLAR CONTRACTS | $ 928,903 | ||||
Swap Agreements | |||||
|
| Notional Amount | Value | ||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 (Rating-Ba2) (i) | Nov. 2034 | $ 362,000 | $ (335,276) | ||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 7.2913% 9/25/34 (Rating-B1) (i) | Oct. 2034 | 119,687 | (64,278) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 (Rating-Baa3) (i) | May 2033 | 362,000 | (304,161) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (i) | Sept. 2034 | 105,811 | (97,196) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Baa2) (i) | August 2034 | $ 87,388 | $ (51,382) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (Rating-A3) (i) | Oct. 2034 | 108,324 | (64,182) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Baa3) (i) | April 2032 | 31,876 | (25,904) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 (Rating-Baa3) (i) | March 2034 | $ 26,379 | $ (1,759) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 (Rating-Ba2) (i) | Feb. 2034 | 1,009 | (953) | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 (Rating-Baa2) (i) | March 2009 | 1,000,000 | (340) | ||
| $ 2,204,474 | $ (945,431) |
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Non-income producing - Issuer is in default. |
(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $76,625,051 or 6.4% of net assets. |
(f) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $13,545,486 or 1.1% of net assets. |
(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $455,011. |
(h) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,300,031. |
(i) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(m) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,780,811 or 0.1% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Iberbond 2004 PLC 4.826% 12/24/17 | 11/30/05 | $ 2,132,642 |
(n) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(o) Non-income producing. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$8,168,000 due 3/02/09 at 0.26% | |
Goldman, Sachs & Co. | $ 3,202,673 |
UBS Securities LLC | 4,965,327 |
| $ 8,168,000 |
$101,750,000 due 3/02/09 at 0.28% | |
J.P. Morgan Securities, Inc. | $ 101,750,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 91,860 |
Fidelity Ultra-Short Central Fund | 542,289 |
Total | $ 634,149 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ 6,291,778 | $ 91,859 | $ 2,298,181 | $ 3,398,205 | 0.4% |
Fidelity Ultra-Short Central Fund | 76,202,764 | - | 64,126,624* | - | 0.0% |
Total | $ 82,494,542 | $ 91,859 | $ 66,424,805 | $ 3,398,205 |
* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 1,319,914,416 | $ 3,398,205 | $ 1,296,911,348 | $ 19,604,863 |
Other Financial Instruments* | $ (16,528) | $ 928,903 | $ (355,884) | $ (589,547) |
*Other financial instruments include Futures Contracts and Swap Agreements. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
| Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 2,559,315 | $ (1,233,143) |
Total Realized Gain (Loss) | 29,878 | - |
Total Unrealized Gain (Loss) | (9,640,355) | 718,552 |
Cost of Purchases | 5,259,619 | - |
Proceeds of Sales | (1,266,337) | - |
Amortization/Accretion | (628,234) | - |
Transfer in/out of Level 3 | 23,290,977 | (74,956) |
Ending Balance | $ 19,604,863 | $ (589,547) |
* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $19,366. |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
Income Tax Information |
At August 31, 2008, the fund had a capital loss carryforward of approximately $13,532,123 of which $6,438,298, $4,621,616, $1,110,250 and $1,361,959 will expire on August 31, 2013, 2014, 2015 and 2016, respectively. |
The fund intends to elect to defer to its fiscal year ending August 31, 2009 approximately $22,088,797 of losses recognized during the period November 1, 2007 to August 31, 2008. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| February 28, 2009 | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $99,755,000 and repurchase agreements of $109,918,000) - See accompanying schedule: Unaffiliated issuers (cost $1,379,272,500) | $ 1,316,516,211 |
|
Fidelity Central Funds (cost $4,775,182) | 3,398,205 |
|
Total Investments (cost $1,384,047,682) |
| $ 1,319,914,416 |
Cash | 65,223 | |
Receivable for investments sold | 22,854,218 | |
Receivable for swap agreements | 5,225 | |
Receivable for fund shares sold | 1,522,397 | |
Interest receivable | 6,512,166 | |
Distributions receivable from Fidelity Central Funds | 9,878 | |
Prepaid expenses | 11,891 | |
Total assets | 1,350,895,414 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 3,140,243 | |
Delayed delivery | 42,657,708 | |
Payable for swap agreements | 552,911 | |
Payable for fund shares redeemed | 4,036,969 | |
Distributions payable | 165,302 | |
Unrealized depreciation on swap agreements | 945,431 | |
Accrued management fee | 325,293 | |
Distribution fees payable | 167,787 | |
Payable for daily variation on futures contracts | 413 | |
Other affiliated payables | 238,874 | |
Other payables and accrued expenses | 79,818 | |
Collateral on securities loaned, at value | 101,750,000 | |
Total liabilities | 154,060,749 | |
|
|
|
Net Assets | $ 1,196,834,665 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,324,587,000 | |
Undistributed net investment income | 1,136,164 | |
Accumulated undistributed net realized gain (loss) on investments | (64,738,707) | |
Net unrealized appreciation (depreciation) on investments | (64,149,792) | |
Net Assets | $ 1,196,834,665 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
| February 28, 2009 | |
|
|
|
Calculation of Maximum Offering Price | $ 8.66 | |
|
|
|
Maximum offering price per share (100/98.50 of $8.66) | $ 8.79 | |
Class T: | $ 8.66 | |
|
|
|
Maximum offering price per share (100/98.50 of $8.66) | $ 8.79 | |
Class B: | $ 8.63 | |
|
|
|
Class C: | $ 8.66 | |
|
|
|
Institutional Class: | $ 8.69 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
| Six months ended February 28, 2009 | |
|
|
|
Investment Income |
|
|
Interest |
| $ 21,855,717 |
Income from Fidelity Central Funds |
| 634,149 |
Total income |
| 22,489,866 |
|
|
|
Expenses | ||
Management fee | $ 2,036,417 | |
Transfer agent fees | 1,272,220 | |
Distribution fees | 1,009,781 | |
Accounting and security lending fees | 224,249 | |
Custodian fees and expenses | 19,060 | |
Independent trustees' compensation | 2,451 | |
Registration fees | 56,002 | |
Audit | 88,500 | |
Legal | 2,162 | |
Miscellaneous | 12,952 | |
Total expenses before reductions | 4,723,794 | |
Expense reductions | (6,202) | 4,717,592 |
Net investment income | 17,772,274 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 184,047 | |
Fidelity Central Funds | (28,977,784) |
|
Futures contracts | 1,682,875 | |
Swap agreements | 129,730 |
|
Total net realized gain (loss) |
| (26,981,132) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (13,690,035) | |
Futures contracts | (563,782) | |
Swap agreements | 844,038 | |
Total change in net unrealized appreciation (depreciation) |
| (13,409,779) |
Net gain (loss) | (40,390,911) | |
Net increase (decrease) in net assets resulting from operations | $ (22,618,637) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 17,772,274 | $ 54,585,898 |
Net realized gain (loss) | (26,981,132) | (24,447,492) |
Change in net unrealized appreciation (depreciation) | (13,409,779) | (22,462,426) |
Net increase (decrease) in net assets resulting from operations | (22,618,637) | 7,675,980 |
Distributions to shareholders from net investment income | (16,520,027) | (54,115,364) |
Share transactions - net increase (decrease) | (138,734,810) | (18,385,435) |
Total increase (decrease) in net assets | (177,873,474) | (64,824,819) |
|
|
|
Net Assets | ||
Beginning of period | 1,374,708,139 | 1,439,532,958 |
End of period (including undistributed net investment income of $1,136,164 and distributions in excess of net investment income of $116,083, respectively) | $ 1,196,834,665 | $ 1,374,708,139 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.94 | $ 9.25 | $ 9.39 | $ 9.39 | $ 9.60 | $ 9.55 | $ 9.44 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .120 | .364 | .414 | .305 | .281 | .202 | .261 |
Net realized and unrealized gain (loss) | (.289) | (.315) | (.154) | .002 | (.204) | .040 | .128 |
Total from investment operations | (.169) | .049 | .260 | .307 | .077 | .242 | .389 |
Distributions from net investment income | (.111) | (.359) | (.400) | (.307) | (.279) | (.192) | (.279) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.111) | (.359) | (.400) | (.307) | (.287) | (.192) | (.279) |
Net asset value, end of period | $ 8.66 | $ 8.94 | $ 9.25 | $ 9.39 | $ 9.39 | $ 9.60 | $ 9.55 |
Total Return B, C, D | (1.89)% | .51% | 2.79% | 3.33% | .81% | 2.56% | 4.16% |
Ratios to Average Net Assets F, I |
|
|
|
|
|
|
|
Expenses before reductions | .79% A | .78% | .78% | .78% A | .85% | .87% | .81% |
Expenses net of fee waivers, if any | .79% A | .78% | .78% | .78% A | .85% | .87% | .81% |
Expenses net of all reductions | .79% A | .78% | .77% | .78% A | .85% | .87% | .81% |
Net investment income | 2.77% A | 3.98% | 4.41% | 3.91% A | 2.96% | 2.13% | 2.74% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 275,530 | $ 342,015 | $ 412,412 | $ 377,221 | $ 369,512 | $ 357,760 | $ 186,290 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class T
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .122 | .368 | .417 | .308 | .284 | .207 | .261 |
Net realized and unrealized gain (loss) | (.290) | (.327) | (.154) | .002 | (.194) | .038 | .118 |
Total from investment operations | (.168) | .041 | .263 | .310 | .090 | .245 | .379 |
Distributions from net investment income | (.112) | (.361) | (.403) | (.310) | (.282) | (.195) | (.279) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.112) | (.361) | (.403) | (.310) | (.290) | (.195) | (.279) |
Net asset value, end of period | $ 8.66 | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 |
Total Return B, C, D | (1.88)% | .43% | 2.82% | 3.36% | .95% | 2.59% | 4.04% |
Ratios to Average Net Assets F, I |
|
|
|
|
|
|
|
Expenses before reductions | .77% A | .76% | .75% | .74% A | .81% | .83% | .82% |
Expenses net of fee waivers, if any | .77% A | .76% | .75% | .74% A | .81% | .83% | .82% |
Expenses net of all reductions | .77% A | .76% | .75% | .74% A | .81% | .83% | .82% |
Net investment income | 2.79% A | 4.01% | 4.44% | 3.95% A | 2.99% | 2.16% | 2.73% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 267,577 | $ 334,850 | $ 516,227 | $ 514,917 | $ 544,662 | $ 517,440 | $ 468,931 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class B
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.95 | $ 9.27 | $ 9.41 | $ 9.41 | $ 9.61 | $ 9.56 | $ 9.46 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .087 | .295 | .344 | .247 | .210 | .130 | .183 |
Net realized and unrealized gain (loss) | (.329) | (.326) | (.155) | .002 | (.194) | .038 | .120 |
Total from investment operations | (.242) | (.031) | .189 | .249 | .016 | .168 | .303 |
Distributions from net investment income | (.078) | (.289) | (.329) | (.249) | (.208) | (.118) | (.203) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.078) | (.289) | (.329) | (.249) | (.216) | (.118) | (.203) |
Net asset value, end of period | $ 8.63 | $ 8.95 | $ 9.27 | $ 9.41 | $ 9.41 | $ 9.61 | $ 9.56 |
Total Return B, C, D | (2.71)% | (.36)% | 2.01% | 2.68% | .17% | 1.77% | 3.23% |
Ratios to Average Net Assets F, I |
|
|
|
|
|
|
|
Expenses before reductions | 1.55% A | 1.55% | 1.54% | 1.54% A | 1.61% | 1.63% | 1.61% |
Expenses net of fee waivers, if any | 1.55% A | 1.55% | 1.54% | 1.54% A | 1.60% | 1.63% | 1.61% |
Expenses net of all reductions | 1.55% A | 1.55% | 1.53% | 1.53% A | 1.60% | 1.63% | 1.61% |
Net investment income | 2.01% A | 3.22% | 3.65% | 3.15% A | 2.21% | 1.36% | 1.94% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 12,564 | $ 11,617 | $ 19,895 | $ 30,678 | $ 39,190 | $ 53,502 | $ 49,353 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Class C
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 H | 2005 J | 2004 J | 2003 J | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.95 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 | $ 9.45 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income E | .085 | .291 | .340 | .244 | .206 | .129 | .182 |
Net realized and unrealized gain (loss) | (.299) | (.315) | (.155) | .002 | (.204) | .048 | .118 |
Total from investment operations | (.214) | (.024) | .185 | .246 | .002 | .177 | .300 |
Distributions from net investment income | (.076) | (.286) | (.325) | (.246) | (.204) | (.117) | (.200) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.076) | (.286) | (.325) | (.246) | (.212) | (.117) | (.200) |
Net asset value, end of period | $ 8.66 | $ 8.95 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 |
Total Return B, C, D | (2.39)% | (.29)% | 1.98% | 2.65% | .02% | 1.86% | 3.19% |
Ratios to Average Net Assets F, I |
|
|
|
|
|
|
|
Expenses before reductions | 1.60% A | 1.58% | 1.57% | 1.58% A | 1.64% | 1.65% | 1.64% |
Expenses net of fee waivers, if any | 1.60% A | 1.58% | 1.57% | 1.58% A | 1.64% | 1.65% | 1.64% |
Expenses net of all reductions | 1.60% A | 1.58% | 1.57% | 1.57% A | 1.64% | 1.65% | 1.64% |
Net investment income | 1.96% A | 3.18% | 3.62% | 3.12% A | 2.16% | 1.34% | 1.91% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 107,987 | $ 97,150 | $ 129,105 | $ 156,364 | $ 194,992 | $ 273,166 | $ 359,779 |
Portfolio turnover rate G | 277% A | 94% | 91% K | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J For the period ended October 31. K Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Highlights - Institutional Class
| Six months ended February 28, | Years ended August 31, | |||||
2009 | 2008 | 2007 | 2006 G | 2005 I | 2004 I | 2003 I | |
Selected Per-Share Data |
|
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 |
Income from Investment Operations |
|
|
|
|
|
|
|
Net investment income D | .132 | .385 | .435 | .321 | .301 | .225 | .278 |
Net realized and unrealized gain (loss) | (.260) | (.324) | (.154) | .003 | (.194) | .038 | .119 |
Total from investment operations | (.128) | .061 | .281 | .324 | .107 | .263 | .397 |
Distributions from net investment income | (.122) | (.381) | (.421) | (.324) | (.299) | (.213) | (.297) |
Distributions from net realized gain | - | - | - | - | (.008) | - | - |
Total distributions | (.122) | (.381) | (.421) | (.324) | (.307) | (.213) | (.297) |
Net asset value, end of period | $ 8.69 | $ 8.94 | $ 9.26 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 |
Total Return B, C | (1.43)% | .65% | 3.02% | 3.51% | 1.14% | 2.78% | 4.24% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
|
|
Expenses before reductions | .54% A | .54% | .55% | .57% A | .63% | .64% | .63% |
Expenses net of fee waivers, if any | .54% A | .54% | .55% | .57% A | .63% | .64% | .63% |
Expenses net of all reductions | .54% A | .54% | .55% | .57% A | .63% | .64% | .63% |
Net investment income | 3.02% A | 4.23% | 4.64% | 4.12% A | 3.18% | 2.35% | 2.92% |
Supplemental Data |
|
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 533,177 | $ 589,076 | $ 361,894 | $ 224,908 | $ 151,257 | $ 98,505 | $ 91,138 |
Portfolio turnover rate F | 277% A | 94% | 91% J | 55% A | 94% | 87% | 102% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended October 31. J Portfolio turnover rate excludes securities received or delivered in-kind. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2009
1. Organization.
Fidelity Advisor Short Fixed-Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central | Investment | Investment | Investment |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
Semiannual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
Semiannual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, prior period premium and discount on debt securities, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards, expiring capital loss carryforwards and losses deferred due to wash sales excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 11,144,009 |
Unrealized depreciation | (74,799,397) |
Net unrealized appreciation (depreciation) | $ (63,655,388) |
Cost for federal income tax purposes | $ 1,383,569,804 |
New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to
Semiannual Report
4. Operating Policies - continued
Futures Contracts - continued
meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
Swap Agreements - continued
(buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $2,204,474 representing 0.2% of net assets.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Semiannual Report
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $67,400,338 and $193,118,279, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services.
For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
| Distribution | Service | Paid to | Retained |
Class A | -% | .15% | $ 235,443 | $ 6,369 |
Class T | -% | .15% | 223,672 | 4,264 |
Class B | .65% | .25% | 57,981 | 42,119 |
Class C | .75% | .25% | 492,685 | 40,588 |
|
|
| $ 1,009,781 | $ 93,340 |
Sales Load. FDC receives a front-end sales charge of up to 1.50% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of a contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, .75% to ..50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
Semiannual Report
Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 16,956 |
Class T | 7,064 |
Class B* | 23,671 |
Class C* | 10,299 |
| $ 57,990 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, the total transfer agent fees paid by each class were as follows:
| Amount | % of |
Class A | $ 394,567 | .25 |
Class T | 340,704 | .23 |
Class B | 16,268 | .25 |
Class C | 100,838 | .21 |
Institutional Class | 419,843 | .15 |
| $ 1,272,220 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $38,383,060 in return for 613,870 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.
Semiannual Report
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $3.5 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3,941 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $174,359.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,202.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Notes to Financial Statements - continued
10. Other - continued
In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 4,031,155 | $ 15,639,258 |
Class T | 3,865,297 | 17,927,649 |
Class B | 115,075 | 501,393 |
Class C | 850,140 | 3,571,643 |
Institutional Class | 7,658,360 | 16,475,421 |
Total | $ 16,520,027 | $ 54,115,364 |
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 5,300,214 | 11,302,265 | $ 46,139,585 | $ 103,603,312 |
Reinvestment of distributions | 416,206 | 1,539,856 | 3,634,570 | 14,071,246 |
Shares redeemed | (12,158,131) | (19,150,281) | (106,416,026) | (174,320,632) |
Net increase (decrease) | (6,441,711) | (6,308,160) | $ (56,641,871) | $ (56,646,074) |
Class T |
|
|
|
|
Shares sold | 3,671,556 | 10,974,663 | $ 31,961,366 | $ 100,897,906 |
Reinvestment of distributions | 402,031 | 1,767,638 | 3,513,880 | 16,191,013 |
Shares redeemed | (10,632,998) | (31,063,213) | (93,248,596) | (283,101,603) |
Net increase (decrease) | (6,559,411) | (18,320,912) | $ (57,773,350) | $ (166,012,684) |
Semiannual Report
12. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class B |
|
|
|
|
Shares sold | 849,795 | 661,531 | $ 7,404,271 | $ 6,072,366 |
Reinvestment of distributions | 9,301 | 41,928 | 81,263 | 384,593 |
Shares redeemed | (700,372) | (1,552,588) | (6,131,754) | (14,215,142) |
Net increase (decrease) | 158,724 | (849,129) | $ 1,353,780 | $ (7,758,183) |
Class C |
|
|
|
|
Shares sold | 3,857,523 | 1,924,284 | $ 33,588,455 | $ 17,674,887 |
Reinvestment of distributions | 65,830 | 261,023 | 575,404 | 2,389,857 |
Shares redeemed | (2,317,232) | (5,267,046) | (20,328,992) | (48,161,144) |
Net increase (decrease) | 1,606,121 | (3,081,739) | $ 13,834,867 | $ (28,096,400) |
Institutional Class |
|
|
|
|
Shares sold | 15,686,339 | 38,519,700 | $ 137,902,531 | $ 347,579,198 |
Reinvestment of distributions | 818,523 | 1,561,667 | 7,155,382 | 14,241,593 |
Shares redeemed | (21,019,905) | (13,302,803) | (184,566,149) | (121,692,885) |
Net increase (decrease) | (4,515,043) | 26,778,564 | $ (39,508,236) | $ 240,127,906 |
13. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Short Fixed-Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Short Fixed-Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments, as of February 28, 2009, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended February 28, 2009 and for the year ended August 31, 2008, and the financial highlights for the six months ended February 28, 2009 and for each of the periods presented. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2009, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Short Fixed-Income Fund as of February 28, 2009, the results of its operations for the six months then ended, the changes in its net assets for the six months ended February 28, 2009 and for the year ended August 31, 2008, and the financial highlights for the six months ended February 28, 2009 and for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 8, 2009
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
Fidelity Investments Money
Management, Inc.
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
SFII-USAN-0409 1.784906.106
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/ John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | May 11, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | May 11, 2009 |
By: | /s/ Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | May 11, 2009 |